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Persistent link: https://www.econbiz.de/10013440253
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...
Persistent link: https://www.econbiz.de/10012127555
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...
Persistent link: https://www.econbiz.de/10014234393
This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...
Persistent link: https://www.econbiz.de/10011993538
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...
Persistent link: https://www.econbiz.de/10011906204
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...
Persistent link: https://www.econbiz.de/10014532413
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
Persistent link: https://www.econbiz.de/10011539339
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with applications to portfolio optimization problems. The proposed model considers the ambiguity set of portfolio return in which the marginal distributions and their copula are close...
Persistent link: https://www.econbiz.de/10014256348