Chabi-Yo, Fousseni; Leisen, Dietmar P.J.; Renault, Eric - In: Journal of Economic Theory 154 (2014) C, pp. 453-489
portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk … premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the … market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this …