Aggregation of preferences for skewed asset returns

DOI10.1016/J.JET.2014.09.020MaRDI QIDQ472212zbMATH OpenOpenAlexFDO

Authors Fousseni Chabi-Yo, Dietmar P. J. Leisen, Eric Renault

Publication date 19 November 2014

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2014.09.020

zbMATH Keywords

aggregationskewnessportfoliostochastic discount factormarket returnpolynomials of pricing factors

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Aggregation of preferences for skewed asset returns
• Asymptotic methods for asset market equilibrium analysis
• Equilibrium open interest
• First order versus second order risk aversion
• Higher order risk attitudes, demographics, and financial decisions
• Mixed risk aversion
• On the "Law of Demand"
• Portfolio Analysis in a Stable Paretian Market
• Post-'87 crash fears in the S\&P 500 futures option market
• Proper Risk Aversion
• Proper prudence, standard prudence and precautionary vulnerability
• Rare disasters and asset markets in the twentieth century
• Real effects of money in general equilibrium
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• The comparative statics of changes in risk revisited
• The economics of risk and time
• Transformations of the commodity space, behavioral heterogeneity, and the aggregation problem

Cited in

(12)

• Portfolio choice with skewness preference and wealth-dependent risk aversion
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• A simple skewed distribution with asset pricing applications
• A characterization of the coskewness-cokurtosis pricing model
• Allocation skew: managers with conviction
• Beta and Coskewness Pricing: Perspective from Probability Weighting
• Aggregation of preferences for skewed asset returns
• Increases in skewness and three-moment preferences
• Estimating investor preferences towards portfolio return distribution in investment funds
• Aversion to risk of regret and preference for positively skewed risks
• Priced risk and asymmetric volatility in the cross section of skewness
• From aggregate betting data to individual risk preferences

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