This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

equivalent beta becomes infinite for finite maturities. -- asset prices ; term structure ; risk premium ; certainty equivalent …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial … equities returns ; Value at Risk ; investment horizon ; vector auto-regression …