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
收藏
页码：568 / 577
页数：10
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