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

Reference : Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Takin...


	Document type :	Scientific journals : Article
	Discipline(s) :	Business & economic sciences : Finance
	Focus Areas :	Finance
	To cite this reference:	http://hdl.handle.net/10993/48762

Title :	Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds
Language :	English
Author, co-author :	Lehnert, Thorsten [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF) >]
Publication date :	Apr-2022
Journal title :	Journal of Derivatives
Publisher :	Portfolio Management Research
Volume :	29
Issue/season :	3
Pages :	30-45
Peer reviewed :	Yes (verified by ORBi^lu)
Audience :	International
ISSN :	1074-1240
e-ISSN :	2168-8524
City :	New-York
Country :	NY
Permalink :	http://hdl.handle.net/10993/48762
Other URL :	https://jod.pm-research.com/content/29/3/65.short

File(s) associated to this reference

Fulltext file(s):

	File	Commentary	Version	Size	Access
Limited access	Tail Risk Hedge Funds JoD TP.pdf		Author preprint	49.29 kB	Request a copy

All documents in ORBi^lu are protected by a user license.