More on Multidimensional Portfolio Analysis

William H. Jean

Journal of Financial and Quantitative Analysis, 1973, vol. 8, issue 3, 475-490

Abstract: In response to the suggestions of the editorial and reviewing staff of this journal, some additional explanation and extensions of the model presented in an earlier paper [4] seem desirable at this time. In that paper the investor in securities was assumed to have a utility function that depended on the first n moments of the statistical distribution of returns rather than just on the mean and variance. When the borrowing-lending possibility was introduced as in the Sharpe-Lintner model, the investor's perceived risk premium could be expressed in the higher moments' dimensions as well as in terms of the variance.

Date: 1973
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