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More on Multidimensional Portfolio Analysis

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  • Jean, William H.

Abstract

In response to the suggestions of the editorial and reviewing staff of this journal, some additional explanation and extensions of the model presented in an earlier paper [4] seem desirable at this time. In that paper the investor in securities was assumed to have a utility function that depended on the first n moments of the statistical distribution of returns rather than just on the mean and variance. When the borrowing-lending possibility was introduced as in the Sharpe-Lintner model, the investor's perceived risk premium could be expressed in the higher moments' dimensions as well as in terms of the variance.

Suggested Citation

  • Jean, William H., 1973. "More on Multidimensional Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 475-490, June.
    • Handle: RePEc:cup:jfinqa:v:8:y:1973:i:03:p:475-490_01
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    Citations

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    Cited by:

    1. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth & Chunhachinda, Pornchai & Nathaphan, Sarayut, 2020. "Mutual fund liquidity timing ability in the higher moment framework," Research in International Business and Finance, Elsevier, vol. 51(C).
    4. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    5. Gaurav Amin & Harry. M Kat, 2002. "Stocks, Bond and Hedge Funds: Not a Free Lunch," ICMA Centre Discussion Papers in Finance icma-dp2002-11, Henley Business School, University of Reading.
    6. 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.
    7. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
    8. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    9. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    10. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    11. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.

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