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| Author: | Simaan, Y. |
| Title: | Portfolio selection and asset pricing - three-parameter framework |
| Journal: | Management Science
1993 : MAY, VOL. 39:5, p. 568-577 |
| Index terms: | FINANCE PORTFOLIO MANAGEMENT CAPITAL ASSET PRICING |
| Language: | eng |
| Abstract: | Idiosyncratic security risks are modelled as following a joint spherical distribution characterized by a mean vector and a generalised covariance matrix. Skewness is generated by a single factor for the whole economy, but upon which different securities have different loadings. This results in three-fund separation - two funds to span the spherical risk and one more fund to span the additional skewness risk. A three-parameter normative portfolio analysis that allows short sales restrictions is developed. |
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