Risk, Return, Skewness and Preference

DOI10.1287/mnsc.38.6.851zbMath0825.90007OpenAlexW2114199397WikidataQ56907634 ScholiaQ56907634MaRDI QIDQ4018307

Yehuda Kahane, Patrick L. Brockett

Publication date: 16 January 1993

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.38.6.851

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Related Items (10)

A theory of coarse utility ⋮ Mixed risk aversion and preference for risk disaggregation: a story of moments ⋮ Comparative statics under uncertainty: The case of mean-variance preferences. ⋮ Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection ⋮ Portfolio selection in multidimensional general and partial moment space ⋮ An empirical study of the impact of skewness and kurtosis on hedging decisions ⋮ A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS ⋮ Approximate portfolio analysis ⋮ Determination of the portfolio selection for a property-liability insurance company ⋮ A new foundation for the mean-variance analysis

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