In this study we utilise artificial neural networks to classify equity investment funds according to two fundamental risk measures - standard deviation and beta ratio - and to investigate the fund characteristics essential to this classification. Based on a sample of 4,645 monthly observations...

Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance. This paper examines the efficiency of a...

This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of "total risk" in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is missing from the standard Sharpe Ratio...

What protects travel and leisure companies from a global pandemic, such as COVID-19? To answer this question, we investigate data on over 1,200 travel and leisure companies in 52 countries. We consider 80 characteristics, such as company financial ratios, macroeconomic variables, and government...