Guidolin, Massimo; Nicodano, Giovanna - 2008
portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co … such shifts in optimal weights is represented by the co-skewness, the predictable, time-varying covariance between returns … and volatilities. We calculate that if an investor were to ignore co-skewness and co-kurtosis risk, he would suffer a …