Skewness preference, mean-variance and the demand for put options
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DOI: 10.1002/(SICI)1099-1468(199909)20:6<327::AID-MDE948>3.0.CO;2-0
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References listed on IDEAS
- Ormiston, Michael B & Quiggin, John, 1993. "Two-Parameter Decision Models and Rank-Dependent Expected Utility," Journal of Risk and Uncertainty, Springer, vol. 7(3), pages 273-282, December.
- Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. "Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
- Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
- David E. Bell, 1995. "Risk, Return, and Utility," Management Science, INFORMS, vol. 41(1), pages 23-30, January.
- Loistl, Otto, 1976. "The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results," American Economic Review, American Economic Association, vol. 66(5), pages 904-910, December.
- Hassett, Matt & Stephen Sears, R. & Trennepohl, Gary L., 1985. "Asset preference, skewness, and the measurement of expected utility," Journal of Economics and Business, Elsevier, vol. 37(1), pages 35-47, February.
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Cited by:
- Donald Lien & Kit Pong Wong, 2006. "International tenders and futures hedging," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 27(7), pages 587-594.
- Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.
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