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dc.contributor.authorAthayde, Gustavo M. de
dc.contributor.authorFlôres Junior, Renato Galvão
dc.date.accessioned2008-05-13T15:25:38Z
dc.date.accessioned2010-09-23T18:57:32Z
dc.date.available2008-05-13T15:25:38Z
dc.date.available2010-09-23T18:57:32Z
dc.date.issued1997-10-01
dc.identifier.issn0104-8910
dc.identifier.urihttp://hdl.handle.net/10438/515
dc.description.abstractWe develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussedeng
dc.language.isoeng
dc.publisherEscola de Pós-Graduação em Economia da FGVpor
dc.relation.ispartofseriesEnsaios Econômicos;317por
dc.titleA CAPM with higher moments: theory and econometricseng
dc.typeWorking Papereng
dc.subject.areaEconomiapor
dc.contributor.unidadefgvEscolas::EPGEpor
dc.subject.bibliodataEconomiapor
dc.contributor.affiliationFGV


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