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Multidimensional Security Pricing

Citations

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Cited by:

  1. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  2. Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
  3. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth, 2020. "Coskewness timing ability in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 53(C).
  4. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
  5. 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.
  6. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
  7. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
  8. 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.
  9. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
  10. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  11. Giancarlo Corsetti & Anna Lipinska & Giovanni Lombardo, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade," International Finance Discussion Papers 1324, Board of Governors of the Federal Reserve System (U.S.).
  12. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
  13. 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).
  14. Corsetti, Giancarlo & Lipinska, Anna & Lombardo, Giovanni, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Pricing and Terms of Trade," CEPR Discussion Papers 16443, C.E.P.R. Discussion Papers.
  15. Buchner, Axel, 2016. "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 60-78.
  16. 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.
  17. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
  18. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
  19. 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.
  20. Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
  21. de Athayde, Gustavo M. & Flores, Renato Jr., 2004. "Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1335-1352, April.
  22. 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.
  23. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2001. "Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 434, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  24. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  25. Weinreich, Daniel, 2013. "The perception of distributive fairness and optimal taxation under uncertainty," MPRA Paper 48912, University Library of Munich, Germany.
  26. 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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