Risk, Return, Skewness and Preference

DOI10.1287/MNSC.38.6.851MaRDI QIDQ4018307zbMATH OpenOpenAlexWikidataFDO

Authors Patrick L. Brockett, Yehuda Kahane

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)

Cited in

(11)

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

This page was built for publication: Risk, Return, Skewness and Preference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4018307)