Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
Jivendra K. Kale and Tee Lim
| Year of publication: |
2019
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|---|---|
| Authors: | Kale, Jivendra K. ; Lim, Tee |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 1, p. 1-17
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| Subject: | Power-log optimization | power-log utility | behavioral economics | drawdowns | risk-adjusted returns | positively skewed returns | options | portfolio optimization | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Theorie | Theory | Verhaltensökonomik | Behavioral economics | Optionsgeschäft | Option trading | Anlageverhalten | Behavioural finance | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500105 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028870