Essays about: "Mean-variance framework"
Showing result 41 - 41 of 41 essays containing the words Mean-variance framework.
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41. Pricing Skewness and Kurtosis Risk on the Swedish Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper investigates the role of higher moments on the Swedish stock market 1979-2004 using the asset pricing framework developed in Fang & Lai (1997). The models are estimated using a two-step ordinary least squares procedure and, in addition, an instrumental variables approach to account for the potential problem of errors in variables. READ MORE