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

Article

Publication Date

2019

Publication / Conference / Sponsorship

International Journal of Financial Engineering

Peer Reviewed

1

DOI

10.1142/S2424786319500105

Volume

6

Issue

1

Disciplines

Business | Economics | Finance and Financial Management

Rights

Open Access.

Original Citation

Kale, J.K.; and Lim, T. (2019). Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns. International Journal of Financial Engineering, 6 (1).

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