Conditional skewness in asset pricing : 25 years of out-of-sample evidence
Year of publication: |
2023
|
---|---|
Authors: | Harvey, Campbell R. ; Siddique, Akhtar R. |
Published in: |
Critical finance review. - Hanover, MA : now Publishers Inc., ISSN 2164-5744, ZDB-ID 3140465-0. - Vol. 12.2023, 1/4, p. 355-366
|
Subject: | Risk premium | Downside risk | Insurance | Risk aversion | Portfolio optimization | Downside beta | Risikoprämie | Portfolio-Management | Portfolio selection | Theorie | Theory | CAPM | Risikoaversion | Betafaktor | Beta risk | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Risiko | Risk |
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