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Skewness Preference and Portfolio Choice

Published online by Cambridge University Press:  06 April 2009

Alex Kane
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 1 , March 1982 , pp. 15 - 25
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

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