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How skewness influences optimal allocation in a risky asset? created by M. Eling , K. K. Sudheesh and L. Tibiletti

By: Contributor(s): Material type: TextTextSeries: Applied economics letters ; Volume 20, number 9New York: Taylor and Francis, 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 13504851
Subject(s): LOC classification:
  • HB1.A666 APP
Online resources: Abstract: 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.
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Holdings
Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HB1.A666 APP (Browse shelf(Opens below)) Vol. 20, no. 9 (pages 842-846) SP17975 Not for loan For In House Use Only

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.

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