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International Stock Portfolio Selection And Performance Measure Recognizing Higher Moments Of Return Distributions, Pornchai Chunhachinda

FIU Electronic Theses and Dissertations

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers [e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)] argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of …