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Finding a maximum skewness portfolio—a general solution to three-moments portfolio choice
9 references·16 citing·33 second hop
Finding a maximum skewness portfolio—a general solution to three-moments portfolio choice (2002)Finding a maximum skewness portfolio—a ge…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The variation of certain speculative prices (1997)The variation of certain spec…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Proper Risk Aversion (1987)Proper Risk AversionOn The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Optimal Portfolio Diversification via Independent Component Analysis (2021)Optimal Portfolio Diversifica…Network-based asset allocation strategies (2018)Network-based asset allocatio…Diversification, Integration and Cryptocurrency Market (2018)Diversification, Integration …Risk premia: asymmetric tail risks and excess returns (2016)Risk premia: asymmetric tail …Moment Component Analysis: An Illustration With International Stock Markets (2016)Moment Component Analysis: An…Conglomerate Investment, Skewness, and the CEO Long‐Shot Bias (2016)Conglomerate Investment, Skew…Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution (2013)Mean–variance–skewness effici…Return distribution predictability and its implications for portfolio selection (2012)Return distribution predictab…Optimal hedging with higher moments (2011)Optimal hedging with higher m…On the Importance of Time Variability in Higher Moments for Asset Allocation (2011)On the Importance of Time Var…Emerging Local Currency Bond Markets (2010)Emerging Local Currency Bond …The econometrics of mean‐variance efficiency tests: a survey (2009)The econometrics of mean‐vari…Portfolio selection in multidimensional general and partial moment space (2009)Portfolio selection in multid…Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation (2009)Multivariate location–scale m…Foreign Participation in Local Currency Bond Markets (2006)Foreign Participation in Loca…THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY (2005)THE PROPER USE OF RISK MEASUR…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Risk and uncertainty: a fallacy of large numbers (1963)Essays in the Theory of Risk-Bearing. (1972)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Strategic Asset Allocation (2002)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Legal Determinants of External Finance (1997)Legal Determinants of External Finance (1997)Initial conditions and moment restrictions in dynamic panel data models (1998)Developing country vulnerability in light of the global financial crisis: Shock therapy? (2013)Uncertainty, capital flows, and maturity mismatch (2017)Are higher U.S. interest rates always bad news for emerging markets? (2022)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1987Proper Risk Aversion540 cited

Cited by

  • 2010Emerging Local Currency Bond Markets128 cited
  • 2009Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation100 cited
  • 2011On the Importance of Time Variability in Higher Moments for Asset Allocation89 cited
  • 2016Risk premia: asymmetric tail risks and excess returns75 cited
  • 2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY74 cited
  • 2016Conglomerate Investment, Skewness, and the CEO Long‐Shot Bias70 cited

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

  • 2011Optimal hedging with higher moments64 cited
  • 2018Network-based asset allocation strategies59 cited
  • 2013Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution57 cited
  • 2009Portfolio selection in multidimensional general and partial moment space56 cited
  • 2006Foreign Participation in Local Currency Bond Markets49 cited
  • 2016Moment Component Analysis: An Illustration With International Stock Markets42 cited
  • 2009The econometrics of mean‐variance efficiency tests: a survey41 cited
  • 2021Optimal Portfolio Diversification via Independent Component Analysis41 cited
  • 2018Diversification, Integration and Cryptocurrency Market39 cited
  • 2012Return distribution predictability and its implications for portfolio selection38 cited