Statistical modelling of asymmetric risk in asset returns

DOI10.1080/13504869500000009zbMath1466.91358OpenAlexW2083254018MaRDI QIDQ4994405

John L. Knight, Kien C. Tran, Stephen E. Satchell

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000009

zbMATH Keywords

semi-varianceasymmetric returnsFT 100scale gamma distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

Large deviations theorems for optimal investment problems with large portfolios ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ On the foundation of performance measures under asymmetric returns ⋮ The behavioural components of risk aversion ⋮ The simulation of option prices with application to LIFFE options on futures

Cites Work

• Unnamed Item
• Several possible measures of risk
• Estimating the dimension of a model
• A theory of risk
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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