Showing 1 - 10 of 24
Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized shape parameter from the skew‐normal...
Persistent link: https://www.econbiz.de/10014785321
Persistent link: https://www.econbiz.de/10005810191
Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are suggested for personalizing asset allocation....
Persistent link: https://www.econbiz.de/10005158702
Persistent link: https://www.econbiz.de/10005277296
As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the...
Persistent link: https://www.econbiz.de/10005201784
Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized shape parameter from the skew-normal distribution....
Persistent link: https://www.econbiz.de/10008676510
Persistent link: https://www.econbiz.de/10013490935
Purpose – The purpose of this paper is to address the issue of intergenerational and international sharing of longevity and growth risks. Current research on worldwide demographic changes highlights the importance of longevity risk on financial markets and the need to devise optimal hedging...
Persistent link: https://www.econbiz.de/10014901554
Persistent link: https://www.econbiz.de/10005107106
In a Lucas exchange economy with standard power utility, we study asset prices under learning and ambiguous information. In contrast with models featuring only learning or ambiguity, our model is successful in matching the equity premium, the interest rate, and the volatility of stock returns...
Persistent link: https://www.econbiz.de/10005743917