Essays about: "Conditional Skewness"

Showing result 6 - 7 of 7 essays containing the words Conditional Skewness.

1. 6. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Natalia Lelis; [2011]
   Keywords : Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

   Abstract : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. READ MORE

3. 7. Comparing Mean-Variance and CVaR optimal portfolios, assuming bivariate skew-t distributed returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Peter Wohlfart; Marcus Nossman; [2005]
   Keywords : mean-variance; CVaR; portfolios; skew-t; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : In this paper we are building portfolios consisting of the S&P 500 index and a T-bond index. The portfolio weights are chosen in such a way that the risk for the portfolio is minimized. To be able to minimize the risk for a portfolio, we first have to specify how to measure the portfolios risk. READ MORE