Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds

Lehnert, Thorsten

doi:10.3905/JOD.2022.1.148

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Article (Scientific journals)

Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds

Lehnert, Thorsten

2022 • In Journal of Derivatives, 29 (3), p. 30-45

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/48762

DOI
10.3905/JOD.2022.1.148

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Disciplines :

Finance

Author, co-author :

Lehnert, Thorsten ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)

External co-authors :

Language :

English

Title :

Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds

Publication date :

April 2022

Journal title :

Journal of Derivatives

ISSN :

2168-8524

Publisher :

Portfolio Management Research, New-York, United States - New York

Volume :

Issue :

Pages :

30-45

Peer reviewed :

Peer Reviewed verified by ORBi

Focus Area :

Finance

Additional URL :

https://jod.pm-research.com/content/29/3/65.short

Available on ORBilu :

since 01 December 2021

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