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Can unpredictable risk exposure be priced?
Barahona, Ricardo; Driessen, Joost; Frehen, Rik - In: Journal of financial economics 139 (2021) 2, pp. 522-544
Persistent link: https://www.econbiz.de/10012693684
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Sustainable investing with ESG rating uncertainty
Avramov, Doron; Cheng, Si; Lioui, Abraham; Tarelli, Andrea - In: Journal of financial economics 145 (2022) 2,2, pp. 642-664
Persistent link: https://www.econbiz.de/10013474428
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Investment decisions with two-factor uncertainty
Compernolle, Tine; Huisman, Kuno J. M.; Kort, Peter M.; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary....
Persistent link: https://www.econbiz.de/10012795555
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Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821
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Hedging labor income risk
Betermier, Sebastian; Jansson, Thomas; Parlour, Christine A. - In: Journal of financial economics 105 (2012) 3, pp. 622-639
Persistent link: https://www.econbiz.de/10009667510
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Asset commonality, debt maturity and systemic risk
Allen, Franklin; Babus, Ana; Carletti, Elena - In: Journal of financial economics 104 (2012) 3, pp. 519-534
Persistent link: https://www.econbiz.de/10009622468
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Performance evaluation with high moments and disaster risk
Kadan, Ohad; Liu, Fang - In: Journal of financial economics 113 (2014) 1, pp. 131-155
Persistent link: https://www.econbiz.de/10010421823
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Mean-variance utility functions and the demand for risky assets : an empirical analysis using flexible functional forms
Aivazian, Varouj A. - In: Journal of financial and quantitative analysis : JFQA 18 (1983) 4, pp. 411-424
Persistent link: https://www.econbiz.de/10001815100
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Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362
Persistent link: https://www.econbiz.de/10001113532