Niguez, Trino-Manuel; Paya, Ivan; Peel, David; Perote, … - Department of Economics, Management School - 2013
This paper revisits the corner solution in classical portfolio choice theory in which risk-averse agents would all be optimally plungers rather than diversifiers. We examine the effect of higher-order moments of two-, three- and four-parameter density functions on the investor's decision to...