Skewness Preference and Portfolio Choice

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 1982
Volume: 17
Issue: 1
Pages: 15-25

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:17:y:1982:i:01:p:15-25_01
Journal Field
Finance
Author Count
1
Added to Database
2026-01-25