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Uncertainty and risk in the cryptocurrency market

Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Cryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the...

Persistent link: https://www.econbiz.de/10013475240

Risk measures and portfolio optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...

Persistent link: https://www.econbiz.de/10011553110

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models...

Persistent link: https://www.econbiz.de/10011895634

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409

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

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which …, such as the Gaussian-based, value at risk (VaR) measure. Furthermore, the authors analysed multiple alternative approaches … that do not take into account the normality assumption, such as other variations of VaR, as well as econometric models that …

Persistent link: https://www.econbiz.de/10012795821

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

Persistent link: https://www.econbiz.de/10012388728

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10012872607

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms … succession. The transforms are well defined and offer an alternative to VaR models based on the variance-covariance approach. We …

Persistent link: https://www.econbiz.de/10012483525

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...

Persistent link: https://www.econbiz.de/10013273511

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

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...

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

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