The roles of systematic skewness and systematic kurtosis in asset pricing

@inproceedings{Doan2011TheRO,
  title={The roles of systematic skewness and systematic kurtosis in asset pricing},
  author={Minh Phuong Doan},
  year={2011}
}
The role of higher moments of a return distribution has become increasingly important in the literature mainly because traditional measures of risk based on the mean-variance framework have failed to fully characterise return behaviour (Samuelson 1970; Ca 

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