Asymmetric extreme tails and prospective utility of momentum returns

DOI10.1016/J.ECONLET.2012.05.040MaRDI QIDQ1925906zbMATH OpenOpenAlexFDO

Authors Russell Gregory-Allen, Helen Lu, Philip Stork

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.05.040

zbMATH Keywords

asymmetric tailsextreme value theoryprospective utility

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

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Cites work

• A prospect-theoretical interpretation of momentum returns
• A simple general approach to inference about the tail of a distribution
• Comparing downside risk measures for heavy tailed distributions
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Myopic Loss Aversion and the Equity Premium Puzzle

Cited in

(3)

• A prospect-theoretical interpretation of momentum returns
• How the weak variance of momentum can turn out to be negative
• Asymmetries and tails in stock index returns: are their distributions really asymmetric?

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