Articlehybrid2016

Risk premia: asymmetric tail risks and excess returns

Yves Lempérière · Cyril Deremble · Trung-Tu Nguyen · Philip Seager · Marc Potters · Jean‐Philippe Bouchaud

75 citations0/0 files storedQuantitative Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

One of the pillars of modern finance theory is the concept of ‘risk premium’, i.e. that a more risky investment should, on the long run, also be more profitable. The argument leading to such a conc...

Citations in this library

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1985The equity premium: A puzzle 2008Market Liquidity and Funding Liquidity 2006The Cross‐Section of Volatility and Expected Returns 2000Conditional Skewness in Asset Pricing Tests 2006Rare Disasters and Asset Markets in the Twentieth Century*

Cited by

2018Government bond yields in Germany and Spain—empirical evidence from better days 2023Negative Tail Events, Emotions and Risk Taking 2021A new approximation for the risk premium with large risks

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