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David Berns - How do you build a portfolio for a human being? (S4E16)
Flirting with Models
I Love That You Isolate That
The idea that investors want to maximize their odd return moments and minimize the even return moment. If these are truly sort of general preferences, wouldn't we expect prices to ultimately clear at a level were sort of moment preferences offset each other? Yet, it just ultimately depends on the agents in the market how greedy they want to be on returns on the first moment. Do you think it's possible that with so much emphasis on portfolios that ultimately grew out of modern portfolio theory, that skewness is actually potentially underpriced in the market?
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