TY  - BOOK
AU  - Eling,M
AU  - Sudheesh,K.K
AU  - Tibiletti,L
TI  - How skewness influences optimal allocation in a risky asset?
SN  - 13504851
AV  - HB1.A666 APP 
PY  - 2013///
CY  - New York
PB  - Taylor and Francis
KW  - Skew normal distribution
KW  - Optimal asset allocation
KW  - Stein's Lemma
N2  - 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
UR  - https://doi.org/10.1080/13504851.2012.752567
ER  -