Characterizing the Asymmetric Dependence Premium*

DOI10.1093/ROF/RFW022zbMath1402.91660OpenAlexW3123394690MaRDI QIDQ4555691

Jamie Alcock, Anthony Hatherley

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1de0280eb5b721e4f81a1044edaaf0e19c29b899

zbMATH Keywords

portfolio managementperformance assessmentreturn premiumprice of asymmetric dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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