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How skewness influences optimal allocation in a risky asset?

Eling, Martin; Sudheesh, K. K.; Tibiletti, Luisa - In: Applied economics letters 20 (2013) 7/9, pp. 842-846

Persistent link: https://www.econbiz.de/10009763287

Skewness in hedge funds returns : classical skewness coefficients vs Azzalini's skewness parameter

Eling, Martin; Farinelli, Simone; Rossello, Damiano; … - In: International journal of managerial finance : IJMF 6 (2010) 4, pp. 290-304

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Good and bad news on capital market return ellipticity

Eling, Martin; Tibiletti, Luisa - In: Atlantic economic journal : AEJ 37 (2009) 2, pp. 209-210

Persistent link: https://www.econbiz.de/10003867118

How Skewness Influences Optimal Allocation in a Risky Asset

Eling, Martin - 2012

This paper extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for...

Persistent link: https://www.econbiz.de/10013098987

Internal vs. external risk measures : how capital requirements differ in practice

Eling, Martin; Tibiletti, Luisa - In: Operations research letters 38 (2010) 5, pp. 482-488

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Shortfall-risk for multiperiod investment returns

Tibiletti, Luisa - In: Operations research models in quantitative finance : …, (pp. 172-184). 1994

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Proper risk aversion in presence of multiple sources of risk

Tibiletti, Luisa - In: Modelling techniques for financial markets and bank …, (pp. 285-296). 1996

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Zero-utility premium and time

Tibiletti, Luisa - In: New operational approaches for financial modelling, (pp. 259-270). 1997

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Beneficial changes in random variables via copulas : an application to insurance

Tibiletti, Luisa - In: The Geneva papers on risk and insurance theory 20 (1995) 2, pp. 191-202

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The effects on optimal portfolios of shifts on a risky asset : the case of dependent risky returns

Tibiletti, Luisa - In: Financial modelling : recent research ; [selection of …, (pp. 197-208). 1994

Persistent link: https://www.econbiz.de/10001285726