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Bilateral multiple gamma returns : their risks and rewards

Dilip B. Madan, Wim Schoutens, King Wang
Year of publication:
2020
Authors: Madan, Dilip B. ; Schoutens, Wim ; Wang, King
Published in:
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 1, p. 1-27
Subject: distorted expectation | Entropy maximization | measure distortion | skewness premia | variance gamma | Theorie | Theory | Entropie | Entropy | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Schätzung | Estimation
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