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Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation
16 references·13 citing·41 second hop
Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation (2009)Multivariate location–scale mixtures of n…Portfolio selection with higher moments (2010)Portfolio selection with high…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Quadratic ARCH Models (1995)Quadratic ARCH ModelsVolatility and Links between National Stock Markets (1994)Volatility and Links between …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Testing For Common Features (1990)Testing For Common FeaturesA Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets (2022)Spillovers beyond the varianc…Stochastic dominance tests (2020)Stochastic dominance testsKurtosis-based projection pursuit for outlier detection in financial time series (2019)Kurtosis-based projection pur…COMFORT: A common market factor non-Gaussian returns model (2015)COMFORT: A common market fact…Asymmetry in tail dependence in equity portfolios (2015)Asymmetry in tail dependence …A state-dependent model for inflation forecasting (2015)A state-dependent model for i…Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution (2013)Mean–variance–skewness effici…Independent Factor Autoregressive Conditional Density Model (2013)Independent Factor Autoregres…Modelling multivariate skewness in financial returns: a SGARCH approach (2012)Modelling multivariate skewne…Testing Non-Linear Dependence in the Hedge Fund Industry (2010)Testing Non-Linear Dependence…Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function (2010)Geometric representation of t…The econometrics of mean‐variance efficiency tests: a survey (2009)The econometrics of mean‐vari…Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations (2009)Distributional Tests in Multi…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)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1995Quadratic ARCH Models559 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements558 cited
  • 2010Portfolio selection with higher moments535 cited

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  • 1990Testing For Common Features470 cited
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    • 2022Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets30 cited
    • 2015COMFORT: A common market factor non-Gaussian returns model28 cited
    • 2010Testing Non-Linear Dependence in the Hedge Fund Industry28 cited
    • 2020Stochastic dominance tests3 cited