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Distribution strategy planning : a comprehensive probabilistic approach for unpredictable environment
Petřík, Theodor - 2024
Uncertain future development presents a significant challenge during the distribution strategy planning process. Traditional planning approaches, reliant on creating potential scenarios and assigning probabilities, often struggle due to future developments' inherent unpredictability, which can...
Persistent link: https://www.econbiz.de/10014531996
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Where have all the alphas gone? : a meta-analysis of hedge fund performance
Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; … - 2024
terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong …
Persistent link: https://www.econbiz.de/10014521048
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Tail risks, asset prices, and investment horizons
Baruník, Jozef; Nevrla, Matěj - 2019
-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …
Persistent link: https://www.econbiz.de/10012009758
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Firm size and stock returns : a meta-analysis
Astakhov, Anton; Havránek, Tomáš; Novák, Jiri - 2017
A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...
Persistent link: https://www.econbiz.de/10011716607
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Multi-level analysis of dynamic portfolio formations : Central European countries
Princ, Michael - 2013
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...
Persistent link: https://www.econbiz.de/10009786883
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Robust portfolio optimization : a stochastic evaluation of worst-case scenarios
Rotella Junior, Paulo; Rocha, Luiz Célio Souza; … - 2022
model is able to accommodate investors who exhibit different risk behaviors (from conservatives to risky investors) by …
Persistent link: https://www.econbiz.de/10012807295
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Frequency-dependent higher moment risks
Baruník, Jozef; Kurka, Josef - 2021
structure of skewness risk and upwardsloping term structure of kurtosis risk, moreover the term structures connected to market … skewness risk and average idiosyncratic skewness risk exhibit different dymanics. …
Persistent link: https://www.econbiz.de/10012496742
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Finance and wealth inequality
Hasan, Iftekhar; Horváth, Roman; Mareš, Jan - 2018
Using a global sample, this paper investigates the determinants of wealth inequality capturing various economic, financial, political, institutional, and geographical indicators. Using instrumental variable Bayesian model averaging, it reveals that only a handful of indicators robustly matter...
Persistent link: https://www.econbiz.de/10011944785
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On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model
Baruník, Jozef; Čech, František - 2014
We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....
Persistent link: https://www.econbiz.de/10010429957
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Risk management of savings accounts
Džmuráňová, Hana; Teplý, Petr - 2014
This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a …'s option to set the deposit as it wishes. The risk management of saving accounts remains a big challenge for banks and … simultaneously raises serious concerns by some regulators. In this paper, we focus on the interest rate risk management of savings …
Persistent link: https://www.econbiz.de/10010344157