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- W76819140 abstract "This paper examines the role of higher-order moments in portfolio choice within an expected-utility framework. We consider two-, three-, four- and five-parameter density functions for portfolio returns and derive exact conditions under which investors would all be optimally plungers rather than diversifiers. Through comparative statics we show the importance of higher-order risk preference properties, such as riskiness, prudence and temperance, in determining plunging behaviour. Empirical estimates for the S&P500 provide evidence for the optimality of diversification." @default.
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- W76819140 date "2014-01-01" @default.
- W76819140 modified "2023-10-18" @default.
- W76819140 title "Higher-order moments in the theory of diversification and portfolio composition" @default.
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