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The relationship between expected utility and higher moments for distributions captured by the Gram–Charlier class
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The relationship between expected utility and higher moments for distributions captured by the Gram–Charlier class (2006)The relationship between expected utility…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Utility and the Skewness of Return in Gambling (2004)Utility and the Skewness of R…Skewness as an explanation of gambling by locally risk averse agents (2002)Skewness as an explanation of…Gram–Charlier densities (2001)Gram–Charlier densitiesGamblers favor skewness, not risk: Further evidence from United States’ lottery games (1999)Gamblers favor skewness, not …Bettors Love Skewness, Not Risk, at the Horse Track (1998)Bettors Love Skewness, Not Ri…A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors (1998)A Reexamination of the Relati…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …Risk, Return, Skewness and Preference (1992)Risk, Return, Skewness and Pr…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results (1976)The Erroneous Approximation o…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …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)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Pathological gambling: Etiology, comorbidity, and treatment. (2005)Experimental auctions methods and applications in economic and marketing research (2007)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)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)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Autoregresive conditional volatility, skewness and kurtosis (2005)Option Return Predictability with Machine Learning and Big Data (2023)The Pricing of Options and Corporate Liabilities (1973)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Probability and Utility Estimates for Racetrack Bettors (1977)Why are Gambling Markets Organised so Differently from Financial Markets? (2004)Equity Portfolio Diversification (2008)Liquidity Preference as Behavior Towards Risk (1958)Essays in the Theory of Risk-Bearing. (1972)A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Consumption-Based Asset Pricing with Higher Cumulants (2012)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)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)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)
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References

  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 1998Bettors Love Skewness, Not Risk, at the Horse Track402 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
  • 2001Gram–Charlier densities265 cited
  • 1999Gamblers favor skewness, not risk: Further evidence from United States’ lottery games191 cited
  • 1992Risk, Return, Skewness and Preference109 cited
  • 1976The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results106 cited
  • 1998A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors66 cited
  • 2004Utility and the Skewness of Return in Gambling15 cited
  • 2002Skewness as an explanation of gambling by locally risk averse agents15 cited

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