刚健华，钱宗鑫，陈凡——QUANTITATIVE FINANCE：The Aumann-Serrano Risk Factor and Asset Pricing: Evidence from the Chinese A-Share Market
时间：2019-04-06
Empirical evidence shows that a single-factor model using the Aumann-Serrano riskiness index dominates both the CAPM and Fama-French three-factor model because the index captures information on higher-order moments