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More on Multidimensional Portfolio Analysis

Published online by Cambridge University Press:  19 October 2009

William H. Jean
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Extract

In response to the suggestions of the editorial and reviewing staff of this journal, some additional explanation and extensions of the model presented in an earlier paper [4] seem desirable at this time. In that paper the investor in securities was assumed to have a utility function that depended on the first n moments of the statistical distribution of returns rather than just on the mean and variance. When the borrowing-lending possibility was introduced as in the Sharpe-Lintner model, the investor's perceived risk premium could be expressed in the higher moments' dimensions as well as in terms of the variance.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 3 , June 1973 , pp. 475 - 490
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

[1]Arditti, Fred D. “Another Look at Mutual Fund Performance.” Journal of Financial and Quantitative Analysis, June 1971.CrossRefGoogle Scholar
[2]Feller, William. An Introduction to Probability Theory and Its Applications, vol. 2. New York: John Wiley & Sons, Inc., 1966.Google Scholar
[3]Hardy, G. H.; Littlewood, J. E.; and Polyá, G.. Inequalities, 2nd ed. Cambridge: Cambridge University Press, 1952.Google Scholar
[4]Jean, William H. “The Extension of Portfolio Analysis to Three or More Parameters.” Journal of Financial and Quantitative Analysis, January 1971.CrossRefGoogle Scholar