@article{Implications:1446,
      recid = {1446},
      author = {Chabi-Yo, Fousseni and Leisen, Dietmar and Renault, Eric},
      title = {Implications of Asymmetry Risk for Portfolio Analysis and  Asset Pricing},
      publisher = {Bank of Canada},
      address = {2007},
      pages = {1 online resource (iii, 50 pages)},
      abstract = {Asymmetric shocks are common in markets; securities'  payoffs are not normally distributed and exhibit skewness.  This paper studies the portfolio holdings of heterogeneous  agents with preferences over mean, variance and skewness,  and derives equilibrium prices. A three funds separation  theorem holds, adding a skewness portfolio to the market  portfolio; the pricing kernel depends linearly only on the  market return and its squared value. Our analysis extends  Harvey and Siddique's (2000) conditional  mean-variance-skewness asset pricing model to non-vanishing  risk-neutral market variance. The empirical relevance of  this extension is documented in the context of the  asymmetric GARCH-in-mean model of Bekaert and Liu (2004).},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1446},
      doi = {https://doi.org/10.34989/swp-2007-47},
}