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International Portfolio Formation, Skewness and the Role of Gold
16 references·3 citing·45 second hop
International Portfolio Formation, Skewness and the Role of Gold (2003)International Portfolio Formation, Skewne…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…On the long run relationship between gold and silver prices A note (2001)On the long run relationship …Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Diversifying with Gold Stocks (1990)Diversifying with Gold StocksGold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…Skewness Persistence in Common Stock Returns (1986)Skewness Persistence in Commo…Using daily stock returns (1985)Using daily stock returnsDiversification in a Three-Moment World (1978)Diversification in a Three-Mo…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE† (1975)PORTFOLIO EFFICIENCY ANALYSIS…Investment and Portfolio Analysis. (1972)Investment and Portfolio Anal…The Extension of Portfolio Analysis to Three or More Parameters (1971)The Extension of Portfolio An…Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models (1966)Forecasts of Future Prices, U…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification (2017)Tail dependence between gold …The Price of Shelter - Downside Risk Reduction with Precious Metals (2016)The Price of Shelter - Downsi…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…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)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Utility Analysis of Choices Involving Risk (1948)PORTFOLIO SELECTION* (1952)Mean-semivariance models for fuzzy portfolio selection (2007)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)American Economic Review (2019)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)Optimal Portfolio Allocation under Higher Moments (2006)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)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)Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)The Behavior of Stock-Market Prices (1965)On the Distribution of Stock Price Differences (1967)The Random Character of Stock Market Prices (1968)Long-term dependence in common stock returns (1977)Orange Juice and Weather (1984)Equilibrium in a Capital Asset Market (1966)Stock Options as Lotteries (2014)Do Stocks Outperform Treasury Bills? (2017)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Mean-VaR portfolio optimization: A nonparametric approach (2017)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)Do Precious Metals Shine? An Investment Perspective (2006)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)
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References

  • 1985Using daily stock returns6,497 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements558 cited
  • 1966Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models440 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 2002Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets219 cited
  • 2001On the long run relationship between gold and silver prices A note213 cited
  • 1990Diversifying with Gold Stocks185 cited
  • 1986Skewness Persistence in Common Stock Returns183 cited
  • 1971The Extension of Portfolio Analysis to Three or More Parameters182 cited
  • 1972Investment and Portfolio Analysis.169 cited

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1975
PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE†
160 cited

Cited by

  • 2016The Price of Shelter - Downside Risk Reduction with Precious Metals93 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2017Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification29 cited