Asymmetric extreme tails and prospective utility of momentum returns

DOI10.1016/J.ECONLET.2012.05.040zbMath1254.91148OpenAlexW1988467128MaRDI QIDQ1925906

Helen Lu, Philip Stork, Russell Gregory-Allen

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.05.040

zbMATH Keywords

extreme value theoryasymmetric tailsprospective utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Utility theory (91B16)

Cites Work

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• A simple general approach to inference about the tail of a distribution
• Comparing downside risk measures for heavy tailed distributions
• A prospect-theoretical interpretation of momentum returns
• Myopic Loss Aversion and the Equity Premium Puzzle

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