January 2003
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17 Reads
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35 Citations
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Citations (1)
... In Figures 1-3, we have demonstrated the Omega performance measure as a function of different threshold levels. As pointed out by Bacmann and Scholz [4], Omega involves all the moments of the return distribution including skewness and kurtosis and so, it is an appropriate indicator of the effectiveness of insurance strategies (see also [34]). In all figures and for high threshold levels, ...
- Citing Article
January 2003