Sökning: "Piero Bertone"

Hittade 1 uppsats innehållade orden Piero Bertone.

  1. 1. Skewness in portfolio allocation: a comparison between different mean-variance and mean-variance-skewness investors

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Piero Bertone; Gustaf Wallenberg; [2016]
    Nyckelord :Skewness; Portfolio allocation; Expected utility;

    Sammanfattning : 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