Linearity properties of a three-moments portfolio model (Q5944944)

This paper regards an extension of the classical capital asset pricing model by dealing with three parameter mean, variance, and skewness. Focusing the attention on a pair of fundamental risky portfolios, an interesting alternative version of the security market plane is proposed. Moreover, the ambiguous role played by the skewness is analyzed, a linear representaton of the efficient set, where the measure of risk is partially purified by effects due to skewness, is provided. Some interesting properties are discussed.