Open AccessExtreme Risk, Excess Return and Leverage: The LP Formula
Author(s) -
Olivier Le Marois,
Julie Mikhalevsky,
Raphaël Douady
Publication year - 2014
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2513879
Subject(s) - economics , leverage (statistics) , econometrics , capital asset pricing model , expected return , risk premium , extreme value theory , financial economics , mathematics , statistics , portfolio
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