Volatility versus Tail Risk: Which One Is Compensated in Equity Funds?

被引：13

作者：

Xiong, James X. ^{[1
]}

Idzorek, Thomas M. ^{[2
]}

Ibbotson, Roger G. ^{[3
,4
]}

机构：

[1] Morningstar Investment Management, Quantitat Res, Chicago, IL 60602 USA

[2] Morningstar Investment Management, Chicago, IL USA

[3] Zebra Capital Management LLC, New Haven, CT USA

[4] Yale Univ, Sch Management, New Haven, CT USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2014年 / 40卷 / 02期

关键词：

TESTS; EQUILIBRIUM; PERFORMANCE; SKEWNESS; RETURNS; PRICES;

D O I：

10.3905/jpm.2014.40.2.112

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：112 / 121

页数：10

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