Investing in Skews

@inproceedings{Madan2000InvestingIS,
  title={Investing in Skews},
  author={Dilip B. Madan and Gavin S. McPhail and Van Munching Hall and Robert H. Smith},
  year={2000}
}
This paper follows the logic of the Sharpe ratio in environments where skewness and kurtosis is of potential importance, and then develops a ranking statistic based on these higher moments. The higher moments are calibrated to distributions using the VG class of processes and this makes the derived higher moment rankings of practical relevance. Tests on… CONTINUE READING