Dokka, Trivikram; Gupta, Sonali Sen - 2023
Robust pricing models often suffer from being overly conservative. This is due to lack of asymmetry information within … the set of possible valuation distributions. However, even when information on asymmetry is available incorporating it … semivariance as a measure of asymmetry on top of mean and variance. We illustrate the gain from having the asymmetry information …