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    Rights statement: This is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Finance Research Letters, 19, 2016 DOI: 10.1016/j.frl.2016.08.010

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Pure higher-order effects in the portfolio choice model

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

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Pure higher-order effects in the portfolio choice model. / Niguez, Trino-Manuel; Paya, Ivan; Peel, David Alan.
In: Finance Research Letters, Vol. 19, 11.2016, p. 255-260.

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

Harvard

Niguez, T-M, Paya, I & Peel, DA 2016, 'Pure higher-order effects in the portfolio choice model', Finance Research Letters, vol. 19, pp. 255-260. https://doi.org/10.1016/j.frl.2016.08.010

APA

Niguez, T-M., Paya, I., & Peel, D. A. (2016). Pure higher-order effects in the portfolio choice model. Finance Research Letters, 19, 255-260. https://doi.org/10.1016/j.frl.2016.08.010

Vancouver

Niguez T-M, Paya I, Peel DA. Pure higher-order effects in the portfolio choice model. Finance Research Letters. 2016 Nov;19:255-260. Epub 2016 Aug 11. doi: 10.1016/j.frl.2016.08.010

Author

Niguez, Trino-Manuel ; Paya, Ivan ; Peel, David Alan. / Pure higher-order effects in the portfolio choice model. In: Finance Research Letters. 2016 ; Vol. 19. pp. 255-260.

Bibtex

@article{22c47a5480974b73a1c7b39da729c2dd,
title = "Pure higher-order effects in the portfolio choice model",
abstract = "This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor's risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effcts have in the decision of expected utility maximizers using data for the US.",
keywords = "Higher-order moments, Portfolio choice, Prudence, Taylor approximation, Temperance",
author = "Trino-Manuel Niguez and Ivan Paya and Peel, {David Alan}",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Finance Research Letters, 19, 2016 DOI: 10.1016/j.frl.2016.08.010",
year = "2016",
month = nov,
doi = "10.1016/j.frl.2016.08.010",
language = "English",
volume = "19",
pages = "255--260",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",

}

RIS

TY - JOUR

T1 - Pure higher-order effects in the portfolio choice model

AU - Niguez, Trino-Manuel

AU - Paya, Ivan

AU - Peel, David Alan

N1 - This is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Finance Research Letters, 19, 2016 DOI: 10.1016/j.frl.2016.08.010

PY - 2016/11

Y1 - 2016/11

N2 - This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor's risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effcts have in the decision of expected utility maximizers using data for the US.

AB - This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor's risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effcts have in the decision of expected utility maximizers using data for the US.

KW - Higher-order moments

KW - Portfolio choice

KW - Prudence

KW - Taylor approximation

KW - Temperance

U2 - 10.1016/j.frl.2016.08.010

DO - 10.1016/j.frl.2016.08.010

M3 - Journal article

VL - 19

SP - 255

EP - 260

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -