The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
From MaRDI portal
Publication:5614389
DOI10.2307/2296483zbMath0212.52001OpenAlexW2068689926MaRDI QIDQ5614389
Publication date: 1970
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2296483
Related Items
Methanol futures hedging with skewed normal distribution by copula method ⋮ Optimal path problems with second-order stochastic dominance constraints ⋮ Distributional properties of portfolio weights ⋮ Sustainability and its relation to efficiency under uncertainty ⋮ Portfolio optimization with serially correlated, skewed and fat tailed index returns ⋮ A numerical evaluation of meta-heuristic techniques in portfolio optimisation ⋮ Uncertain random mean–variance–skewness models for the portfolio optimization problem ⋮ Testing conditional asymmetry: a residual-based approach ⋮ Continuous time one-dimensional asset-pricing models with analytic price-dividend functions ⋮ A \textit{meta}-measure of performance related to both investors and investments characteristics ⋮ Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights ⋮ Multi-objective stochastic programming for portfolio selection ⋮ Challenges in stochastic programming ⋮ Analytic solving of asset pricing models: the by force of habit case ⋮ A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic ⋮ The expected loss and mean square error reductions of risk sensitive decisions ⋮ Portfolio optimization by a bivariate functional of the mean and variance ⋮ Equilibrium open interest ⋮ Approximate CAPM when preferences are CRRA ⋮ Risk tolerance and value of information in the standard portfolio model ⋮ Computational economics and economic theory: Substitutes or complements? ⋮ Taylor series approximations to expected utility and optimal portfolio choice ⋮ Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties ⋮ Moment preferences and polynomial utility ⋮ Approximating the admissible set in stochastic dominance ⋮ A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures ⋮ Managing soil natural capital: a prudent strategy for adapting to future risks ⋮ Uncertain random portfolio selection with high order moments ⋮ Theory of the firm: uncertainty and choice of experiments ⋮ A generalization of the binomial distribution ⋮ Moments and semi-moments for fuzzy portfolio selection ⋮ Time-varying risk attitude and conditional skewness ⋮ Aggregation of preferences for skewed asset returns ⋮ A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments ⋮ A two-period model with portfolio choice: understanding results from different solution methods ⋮ A new approach to statistical efficiency of weighted least squares fitting algorithms for reparameterization of nonlinear regression models ⋮ Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks ⋮ A model of discontinuous interest rate behavior, yield curves, and volatility ⋮ Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection ⋮ Mean-risk-skewness models for portfolio optimization based on uncertain measure ⋮ Solving dynamic general equilibrium models using a second-order approximation to the policy function ⋮ Second-, third-, and higher-order consumption functions: a precautionary tale ⋮ The link between the Shapley value and the beta factor ⋮ MaxVaR with non-Gaussian distributed returns ⋮ A preference foundation for log mean-variance criteria in portfolio choice problems ⋮ Portfolio selection in multidimensional general and partial moment space ⋮ NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS ⋮ Country portfolio dynamics ⋮ The distribution of the sample variance of the global minimum variance portfolio in elliptical models ⋮ Mean-variance-skewness model for portfolio selection with transaction costs ⋮ Portfolio selection with commodities under conditional copulas and skew preferences ⋮ Optimality conditions in portfolio analysis with general deviation measures ⋮ Portfolio selection with transactions costs ⋮ Numerical solutions to dynamic portfolio problems with upper bounds ⋮ A multimarket equilibrium valuation model ⋮ COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION ⋮ Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution ⋮ Optimum consumption and portfolio rules in a continuous-time model ⋮ On the foundations of mean-variance analyses ⋮ On the statistical origins of the learning curve ⋮ A new foundation for the mean-variance analysis ⋮ On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions ⋮ The econometrics of mean‐variance efficiency tests: a survey ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior ⋮ Mean-variance-skewness model for portfolio selection with fuzzy returns ⋮ Portfolio performance evaluation with loss aversion ⋮ Expected utility approximation and portfolio optimisation ⋮ Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility ⋮ Optimization in decision analysis, marketing and financial investments ⋮ Effects of Risk Aversion on the Value of Information in Two-Action Decision Problems ⋮ Optimum portfolio diversification in a general continuous-time model ⋮ A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
