Analysis of extreme events [41]

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Bullet points include: Any return = threshold + upside + downside Non-quadratic utility will typically give greater weight to downside and will in general also depend on higher moments For single return series, defined as: lpm(K,m)=E[min((r-K)m,0)] For multiple return series, defined as: lpmi,j(K,m,n)= E[min((ri-K)m(rj-K)n,0)] Or max E.g. co-skewness, co-kurtosis Or symmetric alternatives

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