Cumulant Risk Premium: A New Methodology
A New Methodology: A new method measures the risk premium of higher-order cumulants using leveraged ETFs, showing significant differences across asset classes, especially during stressful times.
Featured in No. 20 on 12 Oct 2023 ·
- Released
- 19 Jan 2023
- First featured
- No. 20 · 12 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4597367
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).