Right tail information and asset pricing-Reference-Cited by-同舟云学术

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Right tail information and asset pricing

Published:2021-08-05 Issue:8 Volume:40 Page:728-749
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Hua Qiuling¹,Xiao Zhijie²,Zhou Hongtao³

Affiliation:

1. The Research Center for China Public Sector Economy, School of Economics, Jilin University, Changchun, China

2. Department of Economics, Boston College, Chestnut Hill, Massachusetts, USA

3. Center for Econometric Analysis and Forecasting, School of Economics, Dongbei University of Finance and Economics, Dalian, China

Funder

National Natural Science Foundation of China

Empirical Research of CAPM Between China and Japan

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2021.1889179

Reference25 articles.

1. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

2. RISK AND THE REQUIRED RETURN ON EQUITY

3. Coherent Measures of Risk

4. Finding a maximum skewness portfolio—a general solution to three-moments portfolio choice

5. Pessimistic Portfolio Allocation and Choquet Expected Utility

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting VaRs via hybrid EVT with normal and non-normal filters: A comparative analysis from the Chinese stock market;Pacific-Basin Finance Journal;2024-02

2. Econometric Reviews Honors Cheng Hsiao;Econometric Reviews;2021-07-03

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