´. Eférencesef´eférences-références-anderson, E. , L. Hansen, and T. Sargent, Robustness, detection and the price of risk, 2000.

F. D. Arditti and H. Levy, Distribution Moments and Equilibrium: A Comment, The Journal of Financial and Quantitative Analysis, vol.7, issue.1, pp.1429-1433, 1972.
DOI : 10.2307/2330076

G. M. Athayde and R. G. Jr, Finding a maximum skewness portfolio???a general solution to three-moments portfolio choice, Journal of Economic Dynamics and Control, vol.28, issue.7, pp.1335-1352, 2004.
DOI : 10.1016/S0165-1889(02)00084-2

G. Barone-adesi, Arbitrage Equilibrium with Skewed Asset Returns, The Journal of Financial and Quantitative Analysis, vol.20, issue.3, pp.299-313, 1985.
DOI : 10.2307/2331032

T. E. Conine and M. T. Tamarkin, On Diversification Given Asymmetry in Returns, The Journal of Finance, vol.36, issue.5, pp.1143-1155, 1981.
DOI : 10.1111/j.1540-6261.1981.tb01081.x

G. Constantinides and D. Duffie, Asset Pricing with Heterogeneous Consumers, Journal of Political Economy, vol.104, issue.2, pp.219-240, 1996.
DOI : 10.1086/262023

W. Goetzmann and A. Kumar, Why do individual investors hold under-diversified portfolios ?, 2004.

M. Grinblatt and M. Keloharju, What Makes Investors Trade?, The Journal of Finance, vol.40, issue.2, pp.589-616, 2001.
DOI : 10.1111/0022-1082.00338

G. Hanoch and H. Levy, Efficient Portfolio Selection with Quadratic and Cubic Utility, The Journal of Business, vol.43, issue.2, pp.181-189, 1970.
DOI : 10.1086/295264

C. Harvey and A. Siddique, Conditional Skewness in Asset Pricing Tests, The Journal of Finance, vol.19, issue.3, pp.1263-1295, 2000.
DOI : 10.1111/0022-1082.00247

M. Hassett, R. S. Sears, and G. L. , Asset preference, skewness, and the measurement of expected utility, Journal of Economics and Business, vol.37, issue.1, pp.35-47, 1985.
DOI : 10.1016/0148-6195(85)90004-9

J. Heaton and D. Lucas, The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices, " working paper, 1995.

W. H. Jean, The Extension of Portfolio Analysis to Three or More Parameters, The Journal of Financial and Quantitative Analysis, vol.6, issue.1, pp.505-515, 1971.
DOI : 10.2307/2330125

M. Kelly, All their eggs in one basket: Portfolio diversification of US households, Journal of Economic Behavior & Organization, vol.27, issue.1, pp.87-96, 1995.
DOI : 10.1016/0167-2681(95)00006-E

M. Kimball, Precautionary Saving in the Small and in the Large, Econometrica, vol.58, issue.1, pp.53-73, 1990.
DOI : 10.2307/2938334

A. Kraus and R. H. Litzenberger, Skewness preference and the valuation of risky assets, Journal of Finance, vol.31, issue.4, pp.1085-1100, 1976.

H. Levy, A UTILITY FUNCTION DEPENDING ON THE FIRST THREE MOMENTS, The Journal of Finance, vol.32, issue.1, pp.715-719, 1969.
DOI : 10.1111/j.1540-6261.1969.tb00395.x

P. Maenhout, Robust Portfolio Rules and Asset Pricing, Review of Financial Studies, vol.17, issue.4, pp.951-983, 2004.
DOI : 10.1093/rfs/hhh003

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.195.4258

R. C. Merton, Continuous-time finance, 1992.

T. Mitton and K. Vorkink, Equilibrium Underdiversification and the Preference for Skewness, Review of Financial Studies, vol.20, issue.4, pp.1255-1288, 2007.
DOI : 10.1093/revfin/hhm011

T. Odean, Do Investors Trade Too Much?, American Economic Review, vol.89, issue.5, pp.1279-1298, 1999.
DOI : 10.1257/aer.89.5.1279

V. Polkovnichenko, Household Portfolio Diversification: A Case for Rank-Dependent Preferences, Review of Financial Studies, vol.18, issue.4, pp.1467-1502, 2005.
DOI : 10.1093/rfs/hhi033

M. E. Rubinstein, The Fundamental Theorem of Parameter-Preference Security Valuation, The Journal of Financial and Quantitative Analysis, vol.8, issue.1, pp.61-69, 1973.
DOI : 10.2307/2329748

R. C. Scott and P. A. Horvath, On The Direction of Preference for Moments of Higher Order Than The Variance, The Journal of Finance, vol.62, issue.3, pp.915-919, 1980.
DOI : 10.1111/j.1540-6261.1980.tb03509.x

M. A. Simkowitz and W. L. Beedles, Diversification in a Three-Moment World, The Journal of Financial and Quantitative Analysis, vol.13, issue.5, pp.927-941, 1978.
DOI : 10.2307/2330635

S. Btp, Eléments de réflexion sur la stratégiefinancì ere Less can be more, document interne, 2004.

C. Telmer, Asset-pricing Puzzles and Incomplete Markets, The Journal of Finance, vol.104, issue.5, pp.1803-1832, 1993.
DOI : 10.1111/j.1540-6261.1993.tb05129.x

R. Uppal and T. Wang, Model Misspecification and Underdiversification, The Journal of Finance, vol.4, issue.6, pp.2465-2481, 2003.
DOI : 10.1046/j.1540-6261.2003.00612.x

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.195.1345

C. Walter, Le modèle linéaire dans la gestion des portefeuilles : une perspective historique, 2004.

G. A. Whitmore, Third-degree stochastic dominance, American Economic Review, vol.60, pp.457-459, 1970.