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Estimating Systematic Risk Using Time Varying Distributions

✍ Scribed by Gregory Koutmos; Johan Knif

Book ID: 108559673
Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 379 KB
Volume: 8
Category: Article
ISSN: 1354-7798
DOI: 10.1111/1468-036x.00176

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CCC 0270-731 4/95/070767-17 'The quadratic utility assumption is retained for its simplicity. This modeling strategy has been used by many previous authors, including Johnson (1960), Stein (1961), and Anderson and Danthine (1981).