C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T22:40:41+00:00Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
https://www.bankofcanada.ca/2007/08/working-paper-2007-47/
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.2007-08-07T11:40:55+00:00enImplications of Asymmetry Risk for Portfolio Analysis and Asset Pricing2007-08-07Financial marketsMarket structure and pricingWorking Paper 2007-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-47.pdfImplications of Asymmetry Risk for Portfolio Analysis and Asset PricingFousseni Chabi-YoDietmar LeisenEric RenaultAugust 2007CC5C52DD5D58GG1G11G12