Three-parameter asset pricing |
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Authors: | George P. Diacogiannis |
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Abstract: | This paper expands the two-parameter (that is, mean-variance) linear model for the behaviour of returns on securities or portfolios into a model that takes into consideration the skewness of return distributions. As in the case of previous two-parameter relationships, the three-parameter risk-return relationship is valid if and only if the reference portfolio is a three-parameter boundary portfolio. |
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