SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE

DOI10.1111/J.1467-9965.2010.00463.XzbMath1278.91147OpenAlexW1489359237MaRDI QIDQ4906535

Melvyn Sim, Cheekiat Low, Dessislava A. Pachamanova

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00463.x

zbMATH Keywords

skewnessbetaoptimal portfolio allocationprospective satisficing measures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement ⋮ COMMENT ON “SKEWNESS‐AWARE ASSET ALLOCATION” ⋮ Inverse S-shaped probability weighting and its impact on investment ⋮ Realized higher-order comoments

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Risk, Ambiguity, and the Savage Axioms
• Satisficing Measures for Analysis of Risky Positions
• An Economic Index of Riskiness
• Portfolio selection with higher moments
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Prospect Theory: An Analysis of Decision under Risk
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine

This page was built for publication: SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE