PORTFOLIO SELECTION AND ASSET PRICING - 3-PARAMETER FRAMEWORK

被引：43

作者：

SIMAAN, Y

机构：

来源：

MANAGEMENT SCIENCE | 1993年 / 39卷 / 05期

关键词：

FINANCE; PORTFOLIO ANALYSIS; CAPITAL ASSET PRICING; ELLIPTIC DISTRIBUTIONS; SKEWNESS IN PORTFOLIO ANALYSIS;

D O I：

10.1287/mnsc.39.5.568

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Idiosyncratic security risks are modelled as following a joint spherical distribution characterized by a mean vector and a generalized covariance matrix. Skewness is generated by a single factor for the whole economy, but upon which different securities have different loadings. This results in three-fund separation-two funds to span the spherical risk and one more fund to span the additional skewness risk. A three-parameter normative portfolio analysis that allows short sales restrictions is developed. In addition, a three-parameter capital asset pricing model is provided.

引用

页码：568 / 577

页数：10

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