Right tail information and asset pricing

DOI10.1080/07474938.2021.1889179zbMath1490.91225OpenAlexW3189452248MaRDI QIDQ5861056

Zhijie Xiao, Hongtao Zhou, Qiuling Hua

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1889179

zbMATH Keywords

asset pricingquantileright tail meanright tail variancetail information

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

Econometric Reviews Honors Cheng Hsiao

Cites Work

• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory and Asset Prices
• Coherent Measures of Risk
• Prospect Theory: An Analysis of Decision under Risk
• RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
• Common risk factors in the returns on stocks and bonds
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth

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