The cross-section of tail risks in stock returns
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- Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
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More about this item
KeywordsHeavy-tail distribution; safety-first utility; asset pricing;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-RMG-2013-03-30 (Risk Management)
- NEP-UPT-2013-03-30 (Utility Models & Prospect Theory)
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