Volatility-Dependent Skewness Preference-Reference-Cited by-同舟云学术

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Volatility-Dependent Skewness Preference

Published:2021-10-05 Issue:1 Volume:48 Page:43-58
ISSN:0095-4918
Container-title:The Journal of Portfolio Management
language:en
Short-container-title:JPM

Author:

Gao Xiang,Koedijk Kees G.,Wang Zhan

Publisher

Pageant Media US

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Cited by 4 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. Portfolio optimization with mental accounts under uncertain random environment and butterfly optimization algorithm with adaptive strategies;Applied Soft Computing;2024-08

2. Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle;Review of Derivatives Research;2023-11-29

3. Default risk, macroeconomic conditions, and the market skewness risk premium;Journal of International Money and Finance;2022-10

4. Detecting prudence and temperance in risk exposure: the hybrid variance framework;Journal of Risk;2022

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