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Keywords: Asymmetric Laplace distribution
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Journal Articles
A capital asset pricing model based on the value at risk under asymmetric Laplace distribution
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Journal:
Kybernetes
Kybernetes (2023)
Published: 29 August 2023
... with people's psychological perception of risk. The asymmetric Laplace distribution (ALD) captures the heavy-tailed and biased features of the distribution. VaR is therefore used as a risk measure to explore the problem of VaR-based asset pricing. Assuming returns obey ALD, the study explores the impact of high...
