Dranev, Dranev Yury; Fomkina, Fomkina Sofya - National Research University Higher School of Economics - 2013
We introduce a new asset pricing model to account for risk asymmetrically in a very natural way. Assuming asymmetric investor behavior we develop a utility function similar to a quadratic utility but include a colog measure for capturing risk attitude. Asymmetry in investor preferences follows...