Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns

Jivendra K. Kale; Tee Lim

doi:10.1142/S2424786319500105

Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	International Journal of Financial Engineering
Volume	6
DOIs	https://doi.org/10.1142/S2424786319500105
State	Published - Jan 1 2019

Disciplines

Business
Economics
Finance and Financial Management

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10.1142/S2424786319500105License: CC BY

https://doi.org/10.1142/S2424786319500105

Cite this

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title = "Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns",

author = "Kale, {Jivendra K.} and Tee Lim",

year = "2019",

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doi = "10.1142/S2424786319500105",

language = "American English",

volume = "6",

journal = "International Journal of Financial Engineering",

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T1 - Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns

AU - Kale, Jivendra K.

AU - Lim, Tee

PY - 2019/1/1

Y1 - 2019/1/1

UR - https://digitalcommons.stmarys-ca.edu/school-economics-business-faculty-works/1147

UR - https://doi.org/10.1142/S2424786319500105

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DO - 10.1142/S2424786319500105

M3 - Article

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JO - International Journal of Financial Engineering

JF - International Journal of Financial Engineering

ER -

Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns

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Cite this