tag:blogger.com,1999:blog-7905515.post4644102902435718710..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: A Premium for Negative Skew?Eric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-7905515.post-20401316071493446842013-07-07T08:20:20.841-05:002013-07-07T08:20:20.841-05:00Yes, I meant aversion to negative skew.
Yes, I meant aversion to negative skew.<br />Fish Goldsteinhttps://www.blogger.com/profile/13864053986442147618noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-4076579104124052052013-06-30T13:54:35.688-05:002013-06-30T13:54:35.688-05:00Is the older study (2006) based on an ex-post meas...Is the older study (2006) based on an ex-post measure of skewness whereas the newer study is based on ex-ante measure of skewness?tom colemannoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-53684122595230339012013-06-27T02:15:56.336-05:002013-06-27T02:15:56.336-05:00If you are alluding to aversion to damaging alter,...If you are alluding to aversion to damaging alter, I realize that, or even, I would like to know what a person mean. I am just simply baffled due to the fact one more team going through the identical universe (shared funds) located reverse final results. Additional, that 'risk premium' isn't generally there on hand portfolios, or perhaps securities. <br /><br /><a href="http://www.joyrs.com/" rel="nofollow">buy rs gold</a><br /><a href="http://www.mmomarkt.com/" rel="nofollow">WOW Gold</a>cheap runescape goldhttp://www.joyrs.com/noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-81894866928760285772013-06-25T09:00:13.155-05:002013-06-25T09:00:13.155-05:00The answer is obvious to anyone who trades. An eff...The answer is obvious to anyone who trades. An effort to reduce left tail risk by applying filters reduces also the winners. Let the left tail alone and you get more winners. Simple. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-50000708656555440072013-06-24T08:06:38.151-05:002013-06-24T08:06:38.151-05:00If you are alluding to aversion to negative skew, ...If you are alluding to aversion to negative skew, I understand that, if not, I'd like to know what you mean. I'm just confused because another team looking at the same universe (mutual funds) found opposite results. Further, that 'risk premium' isn't there in stock portfolios, or bonds. Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-66235215725389430142013-06-24T06:09:35.479-05:002013-06-24T06:09:35.479-05:00This is not surprising.
First, because people...This is not surprising. <br /><br />First, because people's utility functions are averse to losses. <br /><br />Second, the yield curve implies that people care about higher moments than 2. I can explain this if you're curious.Fish Goldsteinhttps://www.blogger.com/profile/13864053986442147618noreply@blogger.com