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Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market
16 references·1 citing·26 second hop
Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market (2014)Portfolio Selection and Optimization with…Portfolio selection with higher moments (2010)Portfolio selection with high…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Markowitz's “Portfolio Selection”: A Fifty‐Year Retrospective (2002)Markowitz's “Portfolio Select…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Skewness in financial returns (1999)Skewness in financial returnsAutoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…The variation of certain speculative prices (1997)The variation of certain spec…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Handling uncertainty through confidence intervals in portfolio optimization (2018)Handling uncertainty through …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)General Proof that Diversification Pays (1967)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Determinants of Credit Spread Changes (2001)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2002Markowitz's “Portfolio Selection”: A Fifty‐Year Retrospective367 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 1999

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Skewness in financial returns
292 cited

Cited by

  • 2018Handling uncertainty through confidence intervals in portfolio optimization24 cited