Views on Non-normal markets

Views on non-Normal markets [57]

Go to: Summary | Previous | Next
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

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

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile