ASYMMETRY OF MARKET RETURNS AND THE MEAN VARIANCE FRONTIER

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SENGUPTA, Jati K.; PARK, Hyung S.;
(1994)
  • Publisher: Keio Economic Society, Keio University
  • Journal: Keio economic studies,volume 31,issue 1,pages21-36 (issn: 0022-9709)

The hypothesis that the skewness and asymmetry have no significant impact on the mean variance frontier is found to be strongly violated by monthly U.S. data over the period January 1965 through December 1974. This result raises serious doubts whether the common market ... View more
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