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Portfolio optimisation with higher moments of risk at the Pakistan Stock Exchange
16 references·4 citing·53 second hop
Portfolio optimisation with higher moments of risk at the Pakistan Stock Exchange (2017)Portfolio optimisation with higher moment…Investment Management and Financial Innovations (2019)Investment Management and Fin…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …International asset allocation under regime switching, skew, and kurtosis preferences (2008)International asset allocatio…Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Mean-Variance-Skewness Portfo…Equilibrium Underdiversification and the Preference for Skewness (2007)Equilibrium Underdiversificat…Downside Loss Aversion and Portfolio Management (2006)Downside Loss Aversion and Po…Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Asymmetries in Stock Returns:…Skewness persistence with optimal portfolio selection (2003)Skewness persistence with opt…Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Stock Market Development and Long-Run Growth (1996)Stock Market Development and …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…Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…Portfolio Selection (1952)Portfolio SelectionIs tax avoidance one of the purposes of financial data manipulation? The case of Romania (2024)Is tax avoidance one of the p…Portfolio diversification of MENA markets with cryptocurrencies: Mean-variance vs higher-order moments approach (2022)Portfolio diversification of …Geometric Brownian Motion (GBM) of Stock Indexes and Financial Market Uncertainty in the Context of Non-Crisis and Financial Crisis Scenarios (2022)Geometric Brownian Motion (GB…Sustainable Portfolio Optimization with Higher-Order Moments of Risk (2020)Sustainable Portfolio Optimiz…The Utility Analysis of Choices Involving Risk (1948)PORTFOLIO SELECTION* (1952)Mean-semivariance models for fuzzy portfolio selection (2007)American Economic Review (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)An Introduction to Copulas (1999)A review of copula models for economic time series (2012)Copula Methods for Forecasting Multivariate Time Series (2013)Multifractal analysis of financial markets: a review (2019)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)Systemic Risk and International Portfolio Choice (2004)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)A Rational Route to Randomness (1997)A simple framework for analysing bull and bear markets (2002)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Equity Portfolio Diversification (2008)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Essays in the Theory of Risk-Bearing. (1972)ARCH modeling in finance (1992)Asset allocation under multivariate regime switching (2007)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Regime Changes and Financial Markets (2012)On the mechanics of economic development (1988)Finance and Growth: Schumpeter Might Be Right (1993)FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH: ASSESSING THE EVIDENCE* (1997)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)The Theory of Economic Development (2003)Does financial liberalization spur growth? (2005)International Transmission of Stock Market Movements (1989)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)When does lean hurt? – an exploration of lean practices and worker health and safety outcomes (2013)What precious metals act as safe havens, and when? Some US evidence (2014)Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering (2022)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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  • 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS701 cited
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  • 2008International asset allocation under regime switching, skew, and kurtosis preferences400 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited
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  • 2007Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach212 cited
  • 1982Skewness Preference and Portfolio Choice177 cited
  • 2006Downside Loss Aversion and Portfolio Management

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125 cited
  • 2003Skewness persistence with optimal portfolio selection113 cited
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