Exhibiting abnormal returns under a risk averse strategy

DOI10.1007/s11009-018-9673-9zbMath1458.91230OpenAlexW2894368100MaRDI QIDQ2282734

Georgios C. Zachos, Dimitrios G. Konstantinides

Publication date: 19 December 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9673-9

zbMATH Keywords

coherent risk measuresmarket efficiencyrisk premiumspectral risk measurespredictive ability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Pareto efficient buy and hold investment strategies under order book linked constraints, Golden options in financial mathematics

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