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Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

An application of portfolio mean-variance and semi-variance optimization techniques : a case of Fiji

Kumar, Ronald Ravinesh; Stauvermann, Peter; Samitas, … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-25

measures of risk on stocks listed on the South Pacific Stock Exchange, Fiji. We document key market characteristics and … relatively higher expected returns with lower risk. Moreover, well-diversified portfolios perform better than the naïve and … maximum portfolios in terms of risk. Moreover, we find that both the mean-variance and the semi-variance measures of risk …

Persistent link: https://www.econbiz.de/10013273118

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

Portfolios under different methods and scenarios : a case of Fiji's South Pacific stock exchange

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-27

. In a semi-variance analysis (where we account for downside risk only), equally weighted portfolio yields superior returns …

Persistent link: https://www.econbiz.de/10014284441