Essays about: "co-skewness"

Found 2 essays containing the word co-skewness.

  1. 1. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  3. 2. Safe Haven Assets - the Role of Precious Metals in Preserving Wealth

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Leo Rydell Johnson; Taymaz Malekian; [2011]
    Keywords : Safe haven assets; Precious metals; Skewness; Co-skewness; Gold;

    Abstract : This study examines whether precious metals can be considered to be safe haven assets. The safe haven asset concept is part of the flight-to-quality theory. These assets possess certain qualities that make them attractive as investments in times of extreme stock market conditions. Previous research indicates that gold has this kind of qualities. READ MORE