Portfolio Selection and Asset Pricing—Three-Parameter Framework

DOI10.1287/MNSC.39.5.568zbMATH Open0783.90012OpenAlexW2029134863MaRDI QIDQ4274641FDOQ4274641

Authors Yusif E. Simaan

Publication date 17 March 1994

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.39.5.568

zbMATH Keywords

financeskewnesselliptical distributionscapital asset pricingthree-parameter normative portfolio analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(28)

• Reconciling mean-variance portfolio theory with non-Gaussian returns
• Portfolio separation properties of the skew-elliptical distributions, with generalizations
• Aggregation of preferences for skewed asset returns
• Stochastic Spanning
• Stochastic dominance tests
• Location-scale portfolio selection with factor-recentered skew normal asset returns
• A characterization of the coskewness-cokurtosis pricing model
• Second order of stochastic dominance efficiency vs mean variance efficiency
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
• Diversification benefits in the cryptocurrency market under mild explosivity
• Extensions of Stein's Lemma for the Skew-Normal Distribution
• Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
• Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
• The econometrics of mean‐variance efficiency tests: a survey
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• A simple skewed distribution with asset pricing applications
• Spanning tests for Markowitz stochastic dominance
• Accomodating diverse institutional investment objectives and constraints using nonlinear goal programming
• On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Finite sample multivariate tests of asset pricing models with coskewness
• The opportunity cost of mean-variance choice under estimation risk
• Linearity properties of a three-moments portfolio model
• The computation of the worst conditional expectation.
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• A formulation for continuous mixtures of multivariate normal distributions

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