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

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	Proceedings of the Optionmetrics Research Conference
State	Published - Jan 1 2017

Disciplines

Business
Economics
Finance and Financial Management

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 = "2017",

month = jan,

day = "1",

language = "American English",

journal = "Proceedings of the Optionmetrics Research Conference",

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TY - JOUR

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 - 2017/1/1

Y1 - 2017/1/1

UR - https://digitalcommons.stmarys-ca.edu/school-economics-business-faculty-works/1145

M3 - Article

JO - Proceedings of the Optionmetrics Research Conference

JF - Proceedings of the Optionmetrics Research Conference

ER -

Reversing the Negative Skewness of Value Portfolios with Power-Log Optimization and Options, Produces Smaller Drawdowns and Higher Risk-Adjusted Returns

Disciplines

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Cite this