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A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern....

Persistent link: https://www.econbiz.de/10011867378

CAPM with various utility functions : theoretical developments and application to international data

Bedoui, Rihab; BenMabrouk, Houda - In: Cogent economics & finance 5 (2017) 1, pp. 1-21

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions … are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the … investor preferences and attitudes toward risk. We particularly develop CAPM betas for different classes of utility function …

Persistent link: https://www.econbiz.de/10011882295

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Persistent link: https://www.econbiz.de/10012237439

Mean-p portfolio selection and p-arbitrage for coherent risk measures

Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272

Persistent link: https://www.econbiz.de/10012815955

Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation

Kalinchenko, Konstantin; Uryasev, Stanislav; … - 2011

The generalized Capital Asset Pricing Model based on mixed CVaR deviation is used for calibrating risk preferences of investors protecting investments in S&P500 by means of options. The corresponding new generalized beta is designed to capture tail performance of S&P500 returns. Calibration is...

Persistent link: https://www.econbiz.de/10014183591

Feature-Selection Risk

Chinco, Alex - 2015

Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...

Persistent link: https://www.econbiz.de/10013032176

Accounting Based Risk Measurement : An Alternative to CAPM Derived Discount Factors

Toms, Steve - 2012

Discount factors have a long tradition of being computed using capital market inputs for the estimation of systematic risk. They are of increasing importance in financial accounting, including the valuation of goodwill and other intangibles. In view of the volatility of stock market returns and...

Persistent link: https://www.econbiz.de/10013105994

Efficient Portfolio Valuation Incorporating Liquidity Risk

Tian, Yu - 2014

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different...

Persistent link: https://www.econbiz.de/10013068715

The value premium and uncertainty : an approach by support vector regression algorithm

Khoa Bui Thanh; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of...

Persistent link: https://www.econbiz.de/10014500739

Heterogeneity of investors and asset pricing in a risk-value world

Franke, Günter; Weber, Martin - 2001

Persistent link: https://www.econbiz.de/10001635448