How skewness influences optimal allocation in a risky asset?
Eling, M
How skewness influences optimal allocation in a risky asset? created by M. Eling , K. K. Sudheesh and L. Tibiletti - Applied economics letters Volume 20, number 9 .
This article extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for all expected utility maximizing investors when the risky asset is skew-normally and normally distributed. A closed expression is achieved for investors with constant absolute risk aversion.
13504851
Skew normal distribution--Stein's Lemma--Optimal asset allocation
HB1.A666 APP
How skewness influences optimal allocation in a risky asset? created by M. Eling , K. K. Sudheesh and L. Tibiletti - Applied economics letters Volume 20, number 9 .
This article extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for all expected utility maximizing investors when the risky asset is skew-normally and normally distributed. A closed expression is achieved for investors with constant absolute risk aversion.
13504851
Skew normal distribution--Stein's Lemma--Optimal asset allocation
HB1.A666 APP