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Skewness Preference and Portfolio Choice

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  • Kane, Alex

Abstract

One of the virtues of parameter preference models (presented in general form in Rubinstein [23]) is their empirical content. Applied models of financial theory rely heavily on the mean variance (MV) version of parameter preference. As spelled out in Samuelson [25], MV models are adequate with compact distributions of returns and when portfolio decisions are made frequently so that the risk parameter becomes sufficiently small.

Suggested Citation

  • Kane, Alex, 1982. "Skewness Preference and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 15-25, March.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:01:p:15-25_01
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