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Accounting for Illiquidity and Non-Normality of Returns in the Performance Assessment · Study

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PreprintAccounting for Illiquidity and Non-Normality of Returns in the Performance Assessment

Zsolt Berényi2001

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Preprintgreen2001

Accounting for Illiquidity and Non-Normality of Returns in the Performance Assessment

19 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1972Essays in the Theory of Risk-Bearing.1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1991Standard Risk Aversion 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns 2003Profiting from voluntary information spillovers: how users benefit by freely revealing their innovations 1980On The Direction of Preference for Moments of Higher Order Than The Variance 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.271258

openalex_workW1516465547

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