Distributional analysis of portfolio choice
Article Abstract:
Trading in a market is compared with receiving a particular consumption bundle, given state-independent preferences and complete markets. The distributional price of the particular bundle is analyzed. The price of the cheapest utility equivalent bundle sold in the market is the distributional price. The distribution functions of the outside bundle and the state price density determine the distributional price. The value of this approach is demonstrated by portfolio performance measures. These measures are valid even when superior information is the source, unlike measures based on the capital assets pricing model.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1988
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On measuring skewness and elongation in common stock return distributions: the case of the market index
Article Abstract:
Market index return distributional properties are examined using G and H distributions. The market index distribution over a long period of time is modeled as a skewed, elongated (G x H) distribution. The developed estimates of skewness and elongation are inclusive with respect to outliers and they are easy to calculate. There are several implications for portfolio development, pricing model design, and understanding skewness and elongation. Applicable forms of the appropriate distributions are included.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1988
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Risk, return and equilibrium: an extension
Article Abstract:
An omitted firm-size relationship in a recent study may account for anomalous results. This paper uses Levy's generalized asset pricing model is used to estimate the effect of firm size on expected return by examining the effects of unsystematic risk in pricing closely and widely held securities. Results show that company size does not account for the anomalous results of the previous study, even though it does have a significant effect on the risk-return relationship.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1988
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