Skewness-aware asset allocation: a new theoretical framework and empirical evidence
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Publication:4906535
DOI10.1111/J.1467-9965.2010.00463.XzbMATH Open1278.91147OpenAlexW1489359237MaRDI QIDQ4906535FDOQ4906535
Authors: Cheekiat Low, Melvyn Sim, Dessislava A. Pachamanova 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00463.x
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Cites Work
- Risk, ambiguity and the Savage axioms
- Advances in prospect theory: cumulative representation of uncertainty
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Prospect Theory: An Analysis of Decision under Risk
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- Satisficing Measures for Analysis of Risky Positions
- An Economic Index of Riskiness
- Portfolio selection with higher moments
Cited In (7)
- Inverse S-shaped probability weighting and its impact on investment
- Portfolio choice with skewness preference and wealth-dependent risk aversion
- COMMENT ON “SKEWNESS‐AWARE ASSET ALLOCATION”
- Capital asset pricing model when data is skewed
- Realized higher-order comoments
- The skewness risk premium in equilibrium and stock return predictability
- The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
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