Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take …

criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi …

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The …

caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model …

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the … skewness and next week?'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells … stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3 …