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Published in 2023 at "European Financial Management"
DOI: 10.1111/eufm.12431
Abstract: Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long…
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Keywords:
factor portfolios;
almost stochastic;
cryptocurrency;
factor ... See more keywords