English, Article edition: An alternative method for measuring risk compensation of event jumps Shu-Hsien Chen; Ming-Shann Tsai; Fang-Ling Liao

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Bookmark: http://trove.nla.gov.au/version/50849
Physical Description
  • article
Language
  • English

Edition details

Title
  • An alternative method for measuring risk compensation of event jumps
Author
  • Shu-Hsien Chen
  • Ming-Shann Tsai
  • Fang-Ling Liao
Physical Description
  • article
Notes
  • The portfolio management strategy can gain additional wealth from measuring the cost of accounting for events jumps. This study captures the characteristic of jumps on international equities return in the real world. This frame work follows the Das and Uppal (2004) and bridges the gap on the p. 2817. We find, in their study, the problem that exists an expected term in the final solution of compensating wealth. This article also finds some relationship between the jump size and portfolio weights on the risk compensation.
  • RePEc:taf:apfelt:v:4:y:2008:i:5:p:355-361
Language
  • English
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