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Multidimensional Security Pricing: A Correction

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  • Schweser, C.

Abstract

In a recent article appearing in this journal [2] Jonathan Ingersoll developed a normative multidimensional security pricing model for the individual investor in which he corrected errors in an earlier attempt by William Jean [3] [4] [5] at developing such a model. The purpose of this correction is to clarify and correct certain parts of Ingersoll's correction of Jean's work.

Suggested Citation

  • Schweser, C., 1978. "Multidimensional Security Pricing: A Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 177-183, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:177-183_00
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    1. Carl Schweser & Thomas Schneeweis, 1980. "Risk Return And The Multi-Dimensional Security Pricing Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 23-30, March.
    2. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    3. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    4. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.

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