1. Portfolio Selection and Asset Pricing--Three-parameter Framework.
- Author
-
Simaan, Yusif
- Subjects
INVESTMENTS ,RISK assessment ,DIVISION rings ,SECURITIES trading ,INDUSTRIAL management ,PORTFOLIO performance ,PORTFOLIO management (Investments) ,FINANCIAL management ,INVESTMENT analysis - Abstract
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. [ABSTRACT FROM AUTHOR]
- Published
- 1993
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