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    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 12/02/2019, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1550264

    Accepted author manuscript, 151 KB, PDF document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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Flexible distribution functions, higher-order preferences and optimal portfolio allocation

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Flexible distribution functions, higher-order preferences and optimal portfolio allocation. / Niguez, Trino-Manuel; Paya, Ivan; Peel, David Alan et al.
In: Quantitative Finance, Vol. 19, No. 4, 01.04.2019, p. 699-703.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Niguez, T-M, Paya, I, Peel, DA & Perote, J 2019, 'Flexible distribution functions, higher-order preferences and optimal portfolio allocation', Quantitative Finance, vol. 19, no. 4, pp. 699-703. https://doi.org/10.1080/14697688.2018.1550264

APA

Niguez, T-M., Paya, I., Peel, D. A., & Perote, J. (2019). Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance, 19(4), 699-703. https://doi.org/10.1080/14697688.2018.1550264

Vancouver

Niguez T-M, Paya I, Peel DA, Perote J. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Quantitative Finance. 2019 Apr 1;19(4):699-703. Epub 2019 Feb 12. doi: 10.1080/14697688.2018.1550264

Author

Niguez, Trino-Manuel ; Paya, Ivan ; Peel, David Alan et al. / Flexible distribution functions, higher-order preferences and optimal portfolio allocation. In: Quantitative Finance. 2019 ; Vol. 19, No. 4. pp. 699-703.

Bibtex

@article{7db13148aaa64289ad560278474af5ed,
title = "Flexible distribution functions, higher-order preferences and optimal portfolio allocation",
abstract = "In this paper we show that flexible probability distribution functions, in addition to being able to capture stylized facts of financial returns, can be used to identify pure higher-order effects of investors' optimizing behavior. We employ the five-parameter weighted generalized beta of the second kind distribution—and other density functions nested within it—to determine the conditions under which risk averse, prudent and temperate agents are diversifiers in the standard portfolio choice theory. Within this framework, we illustrate through comparative statics the economic significance of higher-order moments in return distributions.",
keywords = "decision analysis, higher-order moments and preferences, Portfolio choice, weighted generalized beta of the second kind",
author = "Trino-Manuel Niguez and Ivan Paya and Peel, {David Alan} and Javier Perote",
note = "This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 12/02/2019, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1550264",
year = "2019",
month = apr,
day = "1",
doi = "10.1080/14697688.2018.1550264",
language = "English",
volume = "19",
pages = "699--703",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Routledge",
number = "4",

}

RIS

TY - JOUR

T1 - Flexible distribution functions, higher-order preferences and optimal portfolio allocation

AU - Niguez, Trino-Manuel

AU - Paya, Ivan

AU - Peel, David Alan

AU - Perote, Javier

N1 - This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 12/02/2019, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1550264

PY - 2019/4/1

Y1 - 2019/4/1

N2 - In this paper we show that flexible probability distribution functions, in addition to being able to capture stylized facts of financial returns, can be used to identify pure higher-order effects of investors' optimizing behavior. We employ the five-parameter weighted generalized beta of the second kind distribution—and other density functions nested within it—to determine the conditions under which risk averse, prudent and temperate agents are diversifiers in the standard portfolio choice theory. Within this framework, we illustrate through comparative statics the economic significance of higher-order moments in return distributions.

AB - In this paper we show that flexible probability distribution functions, in addition to being able to capture stylized facts of financial returns, can be used to identify pure higher-order effects of investors' optimizing behavior. We employ the five-parameter weighted generalized beta of the second kind distribution—and other density functions nested within it—to determine the conditions under which risk averse, prudent and temperate agents are diversifiers in the standard portfolio choice theory. Within this framework, we illustrate through comparative statics the economic significance of higher-order moments in return distributions.

KW - decision analysis

KW - higher-order moments and preferences

KW - Portfolio choice

KW - weighted generalized beta of the second kind

U2 - 10.1080/14697688.2018.1550264

DO - 10.1080/14697688.2018.1550264

M3 - Journal article

VL - 19

SP - 699

EP - 703

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 4

ER -