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Risk, Return, Skewness and Preference

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References

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1958Liquidity Preference as Behavior Towards Risk3,916 cited
1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
1969The Efficiency Analysis of Choices Involving Risk1,416 cited
1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
1984Mean-Variance Versus Direct Utility Maximization527 cited
1989The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money349 cited
1969A Note on Uncertainty and Indifference Curves297 cited
1977Second Degree Stochastic Dominance with Respect to a Function159 cited
1987A Class of Utility Functions Containing all the Common Utility Functions136 cited

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2007Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach212 cited
1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited
2012Consumption-Based Asset Pricing with Higher Cumulants177 cited
2012Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement

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110 cited

2005Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes104 cited

1994Certainty Equivalents for Three-Point Discrete-Distribution Approximations94 cited

2015On skewed risks in economic models and experiments88 cited

2016E VALUATING THE E XPECTED W ELFARE G AIN F ROM I NSURANCE80 cited

1998A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors66 cited

2000Stochastic Upper Bounds for Present Value Functions60 cited

2009Portfolio selection in multidimensional general and partial moment space56 cited

2014Misclassifications in financial risk tolerance50 cited

1992Chance Constrained Programming Approach to Empirical Analyses of Mutual Fund Investment Strategies*46 cited

1995Stochastic Dominance on Unidimensional Grids43 cited

2008Why Risk Is Not Variance: An Expository Note42 cited

2010A General Index of Absolute Risk Attitude34 cited