“desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk …-free investments and subject to the risk measure used, they can provide attractive investment opportunities for investors. We …

interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry … Mahram Manufacturing is the safest to hedge equity risk, and Glucosan and Behshahr Industries are the riskiest, while Gorji …

, downside risk. While the prospects of high returns are alluring for investors and speculators, the downside risks are important … volatility. Predictive models that can successfully explain volatility help to reduce downside risk. In this paper, we … investigate the value-at-risk (VaR) forecasts using a variety of volatility models, including conditional autoregressive VaR …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

performance, an array of risk-adjusted metrics, including Std Sharpe, ES Sharpe, VaR Sharpe, Information ratio, Sortino ratio …, Treynor ratio, and various downside risk metrics (historical VaR, modified VaR, Expected Shortfall, loss deviation, downside …-factor models highlight significant systematic market risk, reflected in notably high beta coefficients, negative alphas, and active …

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …