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| 003 | ZW-GwMSU | ||
| 005 | 20240502094209.0 | ||
| 008 | 230626b |||||||| |||| 00| 0 eng d | ||
| 022 | _a13504851 | ||
| 040 |
_aMSU _cMSU _erda _bEnglish |
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| 050 | 0 | 0 | _aHB1.A666 APP |
| 100 | 1 |
_aEling, M _eauthor |
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| 245 | 1 | 4 |
_aHow skewness influences optimal allocation in a risky asset? _ccreated by M. Eling , K. K. Sudheesh and L. Tibiletti |
| 264 | 1 |
_aNew York: _bTaylor and Francis, _c2013 |
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| 336 |
_2rdacontent _atext _btxt |
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| 337 |
_2rdamedia _aunmediated _bn |
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| 338 |
_2rdacarrier _avolume _bnc |
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| 440 |
_aApplied economics letters _vVolume 20, number 9 |
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| 520 | 3 | _aThis 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 |
_aSkew normal distribution _vOptimal asset allocation _xStein's Lemma |
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| 700 | 1 |
_aSudheesh, K.K _eco-author |
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| 700 | 1 |
_aTibiletti, L _eco-author |
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| 856 | _uhttps://doi.org/10.1080/13504851.2012.752567 | ||
| 942 |
_2lcc _cJA |
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| 999 |
_c162703 _d162703 |
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