The Extension of Portfolio Analysis to Three or More Parameters

William H. Jean

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 1, 505-515

Abstract: Most portfolio analysis is based on the use of two parameters, the mean and variance, of the statistical distribution of returns. Exceptions to this practice can be found in an empirical work by Arditti [1] and a theoretical paper by Levy [4], both using the third moment around the mean. It is the purpose of this paper to begin a general extension of the two-parameter analysis to three or more parameters. Accordingly, some problems will be solved, but others will be suggested for further analysis.

Date: 1971
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