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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10012795039

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

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

Pandemic-era uncertainty

Meyer, Brent; Mihaylov, Emil; Barrero, Jose Maria; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-14

national security as of May 2022. Fourth, firm-level risk perceptions skewed heavily to the downside in spring 2020 but shifted …

Persistent link: https://www.econbiz.de/10013375282

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

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

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

Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

Persistent link: https://www.econbiz.de/10013206042

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27

calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic …

Persistent link: https://www.econbiz.de/10012813564

Volatility-adjusted 60/40 versus 100 : new risk investing paradigm

Liew, Jim Kyung-Soo; Ajakh, Ahmad - In: Journal of risk and financial management : JRFM 13 (2020) 9/190, pp. 1-6

believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …

Persistent link: https://www.econbiz.de/10012386869

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