Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
A Simple Skewed Distribution with Asset Pricing Applications - MaRDI portal

A Simple Skewed Distribution with Asset Pricing Applications

From MaRDI portal

Publication:4555713

Jump to:navigation, search

DOI10.1093/ROF/RFW040zbMath1402.91745OpenAlexW2903282676MaRDI QIDQ4555713

Frans A. de Roon, Paul Karehnke

Publication date: 20 November 2018

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

Full work available at URL: https://doi.org/10.1093/rof/rfw040

zbMATH Keywords

asset pricing value-at-risk skewness portfolio choice expected shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Market price of risk estimation: Does distribution matter?

This page was built for publication: A Simple Skewed Distribution with Asset Pricing Applications

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:4555713&oldid=18687392"