Derivamos las condiciones para la elección óptima de cartera bajo una utilidad con aversión al riesgo relativo constante y distribuciones de probabilidad alternativas que son capaces de capturar las caraterísticas de asimetría y curtosis de los rendimientos de los activos financieros....

This paper revisits the corner solution in classical portfolio choice theory in which risk-averse agents would all be optimally plungers rather than diversifiers. We examine the effect of higher-order moments of two-, three- and four-parameter density functions on the investor's decision to...

This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics as marginal distributions of the different formulations. Within this...

En este estudio, proponemos un nuevo tipo de distribución semi-noparamétrica (SNP) para describir la densidad de los rendimientos de las carteras de activos. Esta distribución, denominada «expansión de momentos multivariante» (MME), admite cualquier distribución (multivariante)...

This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics as marginal distributions of the different formulations. Within this...