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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …
Persistent link: https://www.econbiz.de/10010442899
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Optimal dynamic portfolio with mean-CVaR criterion
Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …
Persistent link: https://www.econbiz.de/10010338351
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Downside risks and the cross-section of asset returns
Farago, Adam; Tédongap, Roméo - In: Journal of financial economics 129 (2018) 1, pp. 69-86
Persistent link: https://www.econbiz.de/10011981218
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Are Smart Beta strategies suitable for hedge fund portfolios?
Hitaj, Asmerilda; Zambruno, Giovanni - In: Review of financial economics : RFE 29 (2016), pp. 37-51
Persistent link: https://www.econbiz.de/10011579742
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Beta vs. characteristics : comparison of risk model performances
Daehwan, Kim - In: Journal of empirical finance 34 (2015), pp. 156-171
Persistent link: https://www.econbiz.de/10011557085
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Asymmetric jump beta estimation with implications for portfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40
Persistent link: https://www.econbiz.de/10012205461
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Validating empirically identified risk factors
Pettengill, Glenn N.; Chang, George - In: Journal of economics and finance 43 (2019) 1, pp. 162-179
Persistent link: https://www.econbiz.de/10012171017
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Black-Litterman, exotic beta and varying efficient portfolios : an integrated approach
Cooper, Ricky Alyn; Molyboga, Marat - In: The journal of investment strategies 6 (2017) 3, pp. 13-30
Persistent link: https://www.econbiz.de/10011731202
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Conditional asset pricing in international equity markets
Huynh, Thanh D. - In: International review of economics & finance : IREF 49 (2017), pp. 168-189
Persistent link: https://www.econbiz.de/10011748394
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The development of downside accounting beta as a measure of risk
Rutkowska-Ziarko, Anna; Pyke, Christopher - In: Economics and business review 3 (2017) 4, pp. 55-65
Persistent link: https://www.econbiz.de/10011795808