# Questions tagged [moments]

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### Power options for pricing European claims

I have the following question: Why would somebody be interested in the expression $E[S^\theta]$ for $\theta$ between zero and one. The only thing I know is that this then can be somehow used to ...
42 views

### What range of skewness values do asset returns exhibit?

If we have multivariate stock returns data (daily, weekly, or monthly), what range of skewness values would we typically observe across firms? $-1.5$ to $1.5$, for example Also can we expect the ...
50 views

### using moment matching to price spread options (multi asset)

this is my very first question in this forum, after having been a greed follower since a few years, feeling that I need your help in a topic. I need to price a multi asset option that has the ...
114 views

### Maximum skewness portfolio solution derived from its Lagrangean formulation

$$\arg \min_w \quad w^\top \Sigma w$$ \begin{align}\text{s.t.} \quad \mathbf{1}^\top w = 1 \end{align} is the optimization problem for the minimum-variance portfolio weights, whose analytical solution,...
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### Why isn't the asset with minimum variance given a 100% portfolio weight? [closed]

The maximum expected return portfolio is the one that assigns a 100% weight to the asset with the highest expected return amongst all assets under consideration. Shouldn't then the asset with the ...
$$\widehat{\text {Skew}}_{i, t}=\frac{3 \cdot\left[\hat{\mu}_{i, t}-\operatorname{median}\left(r_{i, d, t}\right)\right]}{\hat{\sigma}_{i, t}}$$ is called Low Moment Skewness by Baltas and Salinas (...