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Equilibrium Underdiversification and the Preference for Skewness · Study

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PreprintEquilibrium Underdiversification and the Preference for Skewness

Todd Mitton2004

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Preprintgreen2004

Equilibrium Underdiversification and the Preference for Skewness

Todd Mitton · Keith Vorkink

234 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Decision-Making and Behavioral Economics Risk and Portfolio Optimization

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References

1979Prospect Theory: An Analysis of Decision under Risk 2001Boys will be Boys: Gender, Overconfidence, and Common Stock Investment 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors 1948The Utility Analysis of Choices Involving Risk 2000Conditional Skewness in Asset Pricing Tests 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk 1999Do Investors Trade Too Much?1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

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2010Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly 2011Do Portfolio Distortions Reflect Superior Information or Psychological Biases?2008Predicting Hedge Fund Failure: A Comparison of Risk Measures 2004Equity Portfolio Diversification 2009Ex Ante Skewness and Expected Stock Returns 2018Measuring Skewness Premia

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Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations234

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.630821

openalex_workW2133337635

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2008Expected Idiosyncratic Skewness

2008Risk-Neutral Skewness: Return Predictability and Its Sources