De Ryck, Pieter; Cole, Frank; Smedts, Jan; De Moor, Lieven - Faculteit Economie en Bedrijfswetenschappen, … - 2007
skewness. We argue that these distribution properties cause standard mean-variance statistics to underestimate the true …, kurtosis and skewness, such as unsmoothed returns, summed betas and VaR modifications based on the Cornish-Fisher expansion. We …