Title

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

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.

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