The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Philippe Bertrand; Costin Protopopescu

doi:10.2139/ssrn.2666524

Journal articles

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Philippe Bertrand ¹ Costin Protopopescu

1 CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin] / General Finance [q-fin.GN]

Complete list of metadatas

https://hal-amu.archives-ouvertes.fr/hal-01833104
Contributor : Imane Mohat <>
Submitted on : Monday, July 9, 2018 - 1:35:56 PM
Last modification on : Friday, December 14, 2018 - 11:03:23 AM

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Identifiers

Collections

Citation

Export

Metrics

96

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Identifiers

Collections

Citation

Export

Share

Metrics

96