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Persistent link: https://www.econbiz.de/10000885884

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Portfolio rankings with skewness and kurtosis

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Quantitative finance : its development, mathematical foundations, and current scope

Epps, Thomas W. - 2009

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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk

Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

Persistent link: https://www.econbiz.de/10003838424