Reversing the Negative Skewness of Value Portfolios with Power-Log Optimization and Options, Produces Smaller Drawdowns and Higher Risk-Adjusted Returns

Authors

Jivendra K. Kale, Saint Mary's College of California
Tee Lim, Saint Mary's College of California

SMC Author

Jivendra K. Kale, Tee Lim

SMC Affiliated Work

1

Status

Faculty

School

School of Economics and Business Administration

Department

Finance

Document Type

Proceeding

Publication Date

2017

Publication / Conference / Sponsorship

Proceedings of the Optionmetrics Research Conference

Peer Reviewed

1

Disciplines

Business | Economics | Finance and Financial Management

Original Citation

Kale, J.K.; and Lim, T. (2017). Reversing the Negative Skewness of Value Portfolios with Power-Log Optimization and Options, Produces Smaller Drawdowns and Higher Risk-Adjusted Returns. Proceedings of the Optionmetrics Research Conference 2017.

Repository Citation

Kale, Jivendra K. and Lim, Tee. Reversing the Negative Skewness of Value Portfolios with Power-Log Optimization and Options, Produces Smaller Drawdowns and Higher Risk-Adjusted Returns (2017). Proceedings of the Optionmetrics Research Conference. [proceeding]. https://digitalcommons.stmarys-ca.edu/school-economics-business-faculty-works/1145