Essays about: "Gustaf Wallenberg"

Found 1 essay containing the words Gustaf Wallenberg.

  1. 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 ekonomi

    Author : Piero Bertone; Gustaf Wallenberg; [2016]
    Keywords : Skewness; Portfolio allocation; Expected utility;

    Abstract : 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