Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-08T08:32:33.968Z Has data issue: false hasContentIssue false
  • English
  • Français

The Extension of Portfolio Analysis to Three or More Parameters

Published online by Cambridge University Press:  19 October 2009

William H. Jean
Get access Rights & Permissions [Opens in a new window]

Extract

Most portfolio analysis is based on the use of two parameters, the mean and variance, of the statistical distribution of returns. Exceptions to this practice can be found in an empirical work by Arditti [1] and a theoretical paper by Levy [4], both using the third moment around the mean. It is the purpose of this paper to begin a general extension of the two-parameter analysis to three or more parameters. Accordingly, some problems will be solved, but others will be suggested for further analysis.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 1 , January 1971 , pp. 505 - 515
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Arditti, Fred D., “Risk and the Required Return on Equity,” The Journal of Finance (March 1967).CrossRefGoogle Scholar
[2]Faraa, Eugene F., “Risk, Return, and Equilibrium: Some Clarifying Comments,” The Journal of Finance (March 1968).CrossRefGoogle Scholar
[3]Farrar, Donald E., The Investment Decision under Uncertainty (Englewood Cliffs, N.J.: Prentice Hall, Inc., 1962).Google Scholar
[4]Levy, Haim, “A Utility Function Depending on the First Three Moments,” The Journal of Finance (September 1969).CrossRefGoogle Scholar