Skewness Preference and Portfolio Choice

Alex Kane

Journal of Financial and Quantitative Analysis, 1982, vol. 17, issue 1, 15-25

Abstract: One of the virtues of parameter preference models (presented in general form in Rubinstein [23]) is their empirical content. Applied models of financial theory rely heavily on the mean variance (MV) version of parameter preference. As spelled out in Samuelson [25], MV models are adequate with compact distributions of returns and when portfolio decisions are made frequently so that the risk parameter becomes sufficiently small.

Date: 1982
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