Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
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).
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 (2019). International Journal of Financial Engineering. 6 (1), 10.1142/S2424786319500105 [article]. https://digitalcommons.stmarys-ca.edu/school-economics-business-faculty-works/1147
