How skewness influences optimal allocation in a risky asset? (Record no. 162703)
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| fixed length control field | 01401nam a22002657a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240502094209.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 230626b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 13504851 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Transcribing agency | MSU |
| Description conventions | rda |
| Language of cataloging | English |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB1.A666 APP |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Eling, M |
| Relator term | author |
| 245 14 - TITLE STATEMENT | |
| Title | How skewness influences optimal allocation in a risky asset? |
| Statement of responsibility, etc. | created by M. Eling , K. K. Sudheesh and L. Tibiletti |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | New York: |
| Name of producer, publisher, distributor, manufacturer | Taylor and Francis, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013 |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Applied economics letters |
| Volume/sequential designation | Volume 20, number 9 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Skew normal distribution |
| Form subdivision | Optimal asset allocation |
| General subdivision | Stein's Lemma |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Sudheesh, K.K |
| Relator term | co-author |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Tibiletti, L |
| Relator term | co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1080/13504851.2012.752567 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Copy number | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 15/01/2014 | Vol. 20, no. 9 (pages 842-846) | HB1.A666 APP | 26/06/2023 | SP17975 | 26/06/2023 | Journal Article | For In House Use Only |