Essays about: "Gustaf Wallenberg"
Found 1 essay containing the words Gustaf Wallenberg.
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1. Skewness in portfolio allocation: a comparison between different mean-variance and mean-variance-skewness investors
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We investigate the problem of portfolio allocation using an expected utility framework where investors' preference for positive skewness of returns is introduced. We develop a three-parameter generalized utility function that can be used to capture the full spectrum of absolute and relative risk aversions from CARA to DRRA in comparable settings. READ MORE
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