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