Aggregation of preferences for skewed asset returns
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Publication:472212
DOI10.1016/J.JET.2014.09.020zbMATH Open1309.91132OpenAlexW2092428563MaRDI QIDQ472212FDOQ472212
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
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Cites Work
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- The comparative statics of changes in risk revisited
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- Aggregation of preferences for skewed asset returns
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- Equilibrium open interest
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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