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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

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Credit spread arbitrage in emerging Eurobond markets

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Robust optimization of time series momentum portfolios

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Idiosyncratic moments and the cross-section of stock returns in Brazil

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An SDF approach to hedge funds' tail risk : evidence from Brazilian funds

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Economic implications of nonlinear pricing kernels

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Tail risk exposures of hedge funds : evidence from unique Brazilian data

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Generalized risk premia

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Generalized risk premia

Schneider, Paul - 2014

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

Persistent link: https://www.econbiz.de/10010412884