SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Higher-Moment Risk · Study

PreprintShelves

PreprintHigher-Moment Risk

Niels Joachim Gormsen2017

OA

Preprintgreen2017

Higher-Moment Risk

Niels Joachim Gormsen · Christian Skov Jensen

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling COVID-19 Pandemic Impacts

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 20 citations exist upstream.

References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2016Measuring Economic Policy Uncertainty*1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1976Option pricing when underlying stock returns are discontinuous 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2008Market Liquidity and Funding Liquidity 1972Capital Market Equilibrium with Restricted Borrowing 2000Conditional Skewness in Asset Pricing Tests

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2019Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Optionsarticle · 12 shared references 2018Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertaintyreview · 11 shared references 2018The VIX Premiumarticle · 11 shared references 2018Option Prices in a Model with Stochastic Disaster Riskarticle · 11 shared references 2018Risk-Neutral Densities: A Reviewreview · 11 shared references 2015The Probability of Rare Disasters: Estimation and Implicationspreprint · 11 shared references

Details

Year2017

Typepreprint

Published2017-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.3069617

openalex_workW2769369784

Links

Imported from OpenAlex (CC0) — nothing here is generated.