Options on Assets with Stochastic Volatilities. Journal of Political Economy 102: 127168. Skewness and Kurtosis, kurtosis characterizes the relative peakedness or flatness of a distribution compared with the normal distribution. Lucas RE (1972) Expectations and the Neutrality of Money. Livan G, Inoue J, Scalas E (2012) On the non-stationarity of financial time series: impact on optimal portfolio selection. Merton RC (1973) Theory of Rational Option Pricing.
Normally, the far left or right ends of a distribution are more narrow than the middle. Since many asset allocators using asset allocation methods like Modern Portfolio Theory that incorrectly assumes symmetry in market returns, these investors are shocked by larger than expected losses and they may get euphoric after larger than usual gains. New Palgrave Dictionary of Money and Finance. Absolute Return, you are encouraged to reference this website, but please source asymmetry Observations and m, copyright 2016. New York: Random House.