Essays about: "Mean-variance framework"

Showing result 41 - 41 of 41 essays containing the words Mean-variance framework.

  1. 41. Pricing Skewness and Kurtosis Risk on the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Johansson; [2005]
    Keywords : mean-variance; Skewness; Kurtosis; CAPM; moments; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : 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