Kazmi, Madiha; Noreen, Umara; Jadoon, Imran Abbas; … - In: Risks : open access journal 9 (2021) 12, pp. 1-14
In the financial world, the importance of "downside risk" and "higher moments" has been emphasized, predominantly in … capital asset pricing model. These models are CAPM's beta, beta replaced by skewness (gamma), CAPM's beta with gamma, downside … beta CAPM (DCAPM), downside beta replaced by downside gamma, and CAPM with downside gamma. The problems of the high …