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

Producción científica › revisión exhaustiva

Idioma original	American English
Publicación	International Journal of Financial Engineering
Volumen	6
DOI	https://doi.org/10.1142/S2424786319500105
Estado	Published - ene 1 2019

Disciplines

Business
Economics
Finance and Financial Management

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AU - Lim, Tee

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