Dietmar Leisen

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Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Staff Working Paper 2007-47 Fousseni Chabi-Yo, Dietmar Leisen, Eric Renault
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.

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