Skewness-aware asset allocation: a new theoretical framework and empirical evidence
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Publication:4906535
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
- An economic index of riskiness
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- Portfolio selection with higher moments
- Prospect Theory: An Analysis of Decision under Risk
- Risk, ambiguity and the Savage axioms
- Satisficing Measures for Analysis of Risky Positions
- Stochastic Dominance and Expected Utility: Survey and Analysis
Cited in
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- Portfolio choice with skewness preference and wealth-dependent risk aversion
- A simple skewed distribution with asset pricing applications
- Assessing sectoral risk through skew-error capital asset pricing model: empirical evidence from Thai stock market
- Capital asset pricing model when data is skewed
- Realized higher-order comoments
- The skewness risk premium in equilibrium and stock return predictability
- Allocation skew: managers with conviction
- Comment on ``Skewness-aware asset allocation
- Aggregation of preferences for skewed asset returns
- The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
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