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Distribution Moments and Equilibrium: Reply

Published online by Cambridge University Press:  19 October 2009

William H. Jean
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Extract

Unfortunately Professors Arditti and Levy (A-L) in their comment published in this issue of this journal did not realize that the determination of the investor optimum in my paper [1] was simultaneous with respect to the three parameters, the mean and the variance and the third moment of portfolio returns. When the nth moment was introduced, it was assumed that the investor chooses on the basis of all n parameters — the mean, second moment, third moment, etc. — through the nth moment.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 7 , Issue 1 , January 1972 , pp. 1435 - 1437
Copyright
Copyright © School of Business Administration, University of Washington 1972

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References

[1]Jean, William H. “The Extension of Portfolio Analysis to Three or More Parameters.” Journal of Financial and Quantitative Analysis, Vol. VI, No. 1, January 1971.Google Scholar