Sökning: "Piero Bertone"
Hittade 1 uppsats innehållade orden Piero Bertone.
1. Skewness in portfolio allocation: a comparison between different mean-variance and mean-variance-skewness investors
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We investigate the problem of portfolio allocation using an expected utility framework where investors' preference for positive skewness of returns is introduced. We develop a three-parameter generalized utility function that can be used to capture the full spectrum of absolute and relative risk aversions from CARA to DRRA in comparable settings. LÄS MER
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