• Media type: E-Book
  • Title: Mean Swap Variance, Portfolio Thoery and Asset Pricing
  • Contributor: Chow, Victor [Author]; Wang, Zhan [Other]
  • imprint: [S.l.]: SSRN, [2018]
  • Extent: 1 Online-Ressource (45 p)
  • Language: English
  • DOI: 10.2139/ssrn.2965848
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 3, 2018 erstellt
  • Description: Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap variance (MSwV) is necessary and sufficient conditions for that of stochastic dominance. The SwV is composed of a quadratic volatility and a proxy of asymmetric variation (A). The mean-variance-asymmetry (MVA) analysis, a three-dimensional extension of the classical MV portfolio theory and the CAPM, is consistent with expected utility maximization for all risk-averse investors and those who are downside loss-averse but prefer the prospect of potential upside gains
  • Access State: Open Access