Risk and Performance Evaluation with Skewness and Kurtosis for Conventional and Alternative Investments (Hardcover, illustrated edition)

The evaluation of investments offering non-normal return profiles like option portfolios or alternative investments is a challenging task since traditional measures like the mean-variance ones often produce inconsistent results or can be subject to manipulation. This thesis investigates the role of skewness and kurtosis in evaluating conventional and alternative investments. From the background that investors trade not only mean and variance but also higher moments, the author proposes a higher moment-based distributional risk measure, termed as the variance-equivalent risk measure, and develops a series of moment-based performance measures. Comparing these measures with conventional measures like the Sharpe Ratio, empirical testing shows that for investments with high non-normality of returns, the higher moment-based performance measures offer a significant enhancement in the performance evaluation.

General

Imprint:	Peter Lang Publishing
Country of origin:	United States
Release date:	June 2004
Authors:	Zsolt Endre Ber enyi
Dimensions:	210 x 146mm (L x W)
Format:	Hardcover
Pages:	311
Edition:	illustrated edition
ISBN-13:	978-0-8204-6464-0
Categories:	Books > Business & Economics > General Books > Children's & Educational > Vocational subjects & skills > Business studies > General Books > Children's Fiction & Fun Promotions
LSN:	0-8204-6464-3
Barcode:	9780820464640

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!