Asymmetric extreme tails and prospective utility of momentum returns

DOI10.1016/J.ECONLET.2012.05.040zbMATH Open1254.91148OpenAlexW1988467128MaRDI QIDQ1925906FDOQ1925906

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

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zbMATH Keywords

extreme value theoryasymmetric tailsprospective 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)

Cites Work

• Title not available (Why is that?)
• A simple general approach to inference about the tail of a distribution
• Myopic Loss Aversion and the Equity Premium Puzzle
• A prospect-theoretical interpretation of momentum returns
• Comparing downside risk measures for heavy tailed distributions

Cited In (3)

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

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