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Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization
16 references·1 citing·42 second hop
Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization (2006)Mean-Variance-Skewness-Kurtosis-based Por…Skewness persistence with optimal portfolio selection (2003)Skewness persistence with opt…Mean-variance-skewness model for portfolio selection with transaction costs (2003)Mean-variance-skewness model …Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…A Comparative Statics Analysis of Risk Premiums (1973)A Comparative Statics Analysi…The Extension of Portfolio Analysis to Three or More Parameters (1971)The Extension of Portfolio An…Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund P…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Efficient Portfolio Selection with Quadratic and Cubic Utility (1970)Efficient Portfolio Selection…The investment decision under uncertainty (1962)The investment decision under…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Portfolio Selection (1952)Portfolio SelectionA polynomial goal programming model for portfolio optimization based on entropy and higher moments (2017)A polynomial goal programming…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)Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Conditional Skewness in Asset Pricing Tests (2000)Introductory Econometrics for Finance (2008)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)The Behavior of Stock-Market Prices (1965)Equilibrium in a Capital Asset Market (1966)Stock Options as Lotteries (2014)Do Stocks Outperform Treasury Bills? (2017)RISK AND THE REQUIRED RETURN ON EQUITY (1967)Multidimensional Security Pricing (1975)Composite Measures for the Evaluation of Investment Performance (1979)Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Using daily stock returns (1985)Mean-VaR portfolio optimization: A nonparametric approach (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 2002Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets219 cited
  • 1971The Extension of Portfolio Analysis to Three or More Parameters182 cited
  • 1971Another Look at Mutual Fund Performance157 cited
  • 1962The investment decision under uncertainty153 cited
  • 1970Efficient Portfolio Selection with Quadratic and Cubic Utility146 cited
  • 1973A Comparative Statics Analysis of Risk Premiums135 cited
  • 2003Skewness persistence with optimal portfolio selection113 cited

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  • 2003Mean-variance-skewness model for portfolio selection with transaction costs100 cited
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    • 2017A polynomial goal programming model for portfolio optimization based on entropy and higher moments85 cited