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Applied Economics Letters Volume 24, 2017 - Issue 14
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Original Articles

Revealed preferences for portfolio selection – does skewness matter?

Merrill W. LiechtyDepartment of Decision Sciences, LeBow College of Business, Drexel University, Philadelphia, PA, USACorrespondence[email protected]
&
Ümit SağlamDepartment of Management and Marketing, College of Business and Technology, East Tennessee State University, Johnson City, TN, USA
Pages 968-971 | Published online: 12 Oct 2016

References

  • Azzalini, A., and A. D. Valle. 1996. “The Multivariate Skew-Normal Distribution.” Biometrika 83 (4): 715–726. doi:10.1093/biomet/83.4.715.
  • Branco, M. D., and D. K. Dey. 2001. “A General Class of Multivariate Skew-Elliptical Distributions.” Journal of Multivariate Analysis 79 (1): 99–113. doi:10.1006/jmva.2000.1960.
  • Harvey, C. R., J. C. Liechty, M. W. Liechty, and P. Müller. 2010. “Portfolio Selection with Higher Moments.” Quantitative Finance 10 (5): 469–485. doi:10.1080/14697681003756877.
  • Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–91.
  • Sahu, S. K., D. K. Dey, and M. D. Branco. 2003. “A New Class of Multivariate Skew Distributions with Applications to Bayesian Regression Models.” Canadian Journal of Statistics 31 (2): 129–150. doi:10.2307/3316064.

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