, as they share similarities with respect to issuance, risk and governance. Connectedness is weak in the case of composite …

We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data … between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt … by sound risk-return considerations, suggesting a lessening of the doom loop. This result is mainly driven by banks in …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

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 …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic … criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a … European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …

Risk is a big concern for anyone contemplating investing in new, especially innovative ventures. However, if successful … evaluate the importance of risk and return components of an alternative venture investment approach called diminishing … Musharakah (DM). DM has roots in Islamic modes of investment that are more suited for ventures with a higher risk profile. This …

due to the shifting preference towards investment vehicles that position higher on the risk-return curve. Non-listed value …, (2) competitive risk-adjusted performance, and (3) significant portfolio diversification potential in a mixed …