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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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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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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
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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
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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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Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28
reveals that the relaxed risk parity model exhibits advantageous traits of robustness to expected returns, which should not …This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …
Persistent link: https://www.econbiz.de/10012387965
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …
Persistent link: https://www.econbiz.de/10012403996
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Risk analysis and portfolio modelling
Allen, David E.; Luciano, Elisa - In: Journal of risk and financial management : JRFM 12 (2019) 4/154, pp. 1-4
Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve … quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially … explored risks or risk takers in a wide variety of empirical contexts. …
Persistent link: https://www.econbiz.de/10012173017
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Optimizing portfolio risk of cryptocurrencies using data-driven risk measures
Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16
Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …
Persistent link: https://www.econbiz.de/10013471488