SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Portfolio selection with skewness: A comparison of methods and a generalized one fund result
16 references·1 citing·48 second hop
Portfolio selection with skewness: A comparison of methods and a generalized one fund result (2013)Portfolio selection with skewness: A comp…Portfolio selection with higher moments (2010)Portfolio selection with high…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Mean-Variance-Skewness Portfo…Mean-risk models using two risk measures: a multi-objective approach (2007)Mean-risk models using two ri…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Portfolio performance evaluation in a mean–variance–skewness framework (2005)Portfolio performance evaluat…Multiple Criteria Decision Analysis: State of the Art Surveys (2005)Multiple Criteria Decision An…Hedge fund performance appraisal using data envelopment analysis (2004)Hedge fund performance apprai…Skewness persistence with optimal portfolio selection (2003)Skewness persistence with opt…Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…Finding a maximum skewness portfolio—a general solution to three-moments portfolio choice (2002)Finding a maximum skewness po…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Asset allocation with correlation: A composite trade-off (2017)Asset allocation with correla…An analysis of production as an efficient combination of activities (1951)The Principles of Morals and Legislation (1988)PROMETHEE: A comprehensive literature review on methodologies and applications (2009)Multi-criteria decision analysis in environmental sciences: Ten years of applications and trends (2011)A state-of the-art survey of TOPSIS applications (2012)The Utility Analysis of Choices Involving Risk (1948)PORTFOLIO SELECTION* (1952)Mean-semivariance models for fuzzy portfolio selection (2007)American Economic Review (2019)Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Skewness in financial returns (1999)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Financial news predicts stock market volatility better than close price (2018)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments. (1962)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Should investors include commodities in their portfolios after all? New evidence (2011)Technical trading revisited: False discoveries, persistence tests, and transaction costs (2012)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Essays in the Theory of Risk-Bearing. (1972)Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns (2007)Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Using daily stock returns (1985)Mean-VaR portfolio optimization: A nonparametric approach (2017)
this work references cited by second hop

References

  • 2005Multiple Criteria Decision Analysis: State of the Art Surveys4,500 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 2002Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets219 cited
  • 2007Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach212 cited
  • 2002Finding a maximum skewness portfolio—a general solution to three-moments portfolio choice209 cited
  • 2005Portfolio performance evaluation in a mean–variance–skewness framework141 cited
  • 2004Hedge fund performance appraisal using data envelopment analysis130 cited
  • 2007

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Mean-risk models using two risk measures: a multi-objective approach
118 cited
  • 2003Skewness persistence with optimal portfolio selection113 cited
  • Cited by

    • 2017Asset allocation with correlation: A composite trade-off38 cited