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In the early 50's, Markowitz introduced the modern portfolio selection theory which, to this very day, constitutes the basis of many investment decisions. Given different correlated assets, how does an investor create a portfolio maximizing the expected utility? Markowitz's contribution was to...
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Titman(1989). Particular attention is given to the special case of cubic utility implying skewness preferences. Our findings …
Persistent link: https://www.econbiz.de/10010307958
Persistent link: https://www.econbiz.de/10011553051