Table 3: Which Asymmetry (a=-0.40 b=-9.0)

  lambda = (-0.015, 0.100)lambda = (-0.012, 0.120)lambda = (-0.012, 0.140)lambda = (0.012, -0.140)lambda = (0.012, -0.120)lambda = (0.015,-0.100)
P/D
sd(P/D)
R
sd(R)
rf
sd(rf)
ep
corr(x,R)
Sharpe
24.00
3.26
6.74
11.77
4.50
8.18
2.24
0.33
0.19
22.10
2.37
6.87
9.59
5.36
5.84
1.51
0.41
0.16
21.96
2.27
6.87
9.28
5.53
5.19
1.34
0.42
0.14
6.83
1.15
18.25
16.58
20.86
26.22
-2.61
0.23
-0.16
8.20
1.33
15.50
15.24
18.14
22.35
-2.63
0.24
-0.17
7.55
1.55
17.34
19.13
19.42
26.00
-2.08
0.19
-0.11