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An alternative method for measuring risk compensation of event jumps

Author

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  • Shu-Hsien Chen
  • Ming-Shann Tsai
  • Fang-Ling Liao

Abstract

The portfolio management strategy can gain additional wealth from measuring the cost of accounting for events jumps. This study captures the characteristic of jumps on international equities return in the real world. This frame work follows the Das and Uppal (2004) and bridges the gap on the p. 2817. We find, in their study, the problem that exists an expected term in the final solution of compensating wealth. This article also finds some relationship between the jump size and portfolio weights on the risk compensation.

Suggested Citation

  • Shu-Hsien Chen & Ming-Shann Tsai & Fang-Ling Liao, 2008. "An alternative method for measuring risk compensation of event jumps," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 355-361.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:5:p:355-361
    DOI: 10.1080/17446540701720683
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