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How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … measure for risk. The sensitivity of MaxVaR with respect to option characteristics like moneyness, time to maturity and risk … higher for stocks than the options and we can surmise that stock returns are more volatile than options. For robustness, the …

Persistent link: https://www.econbiz.de/10012293244

Technical analysis on the Bitcoin market : trading opportunities or investors' pitfall?

Resta, Marina; Pagnottoni, Paolo; De Giuli, Maria Elena - In: Risks : open access journal 8 (2020) 2/44, pp. 1-15

In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January...

Persistent link: https://www.econbiz.de/10012292821

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

Mean-variance optimization is a good choice, but for other reasons than you might think

Rigamonti, Andrea - In: Risks : open access journal 8 (2020) 1/29, pp. 1-16

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to...

Persistent link: https://www.econbiz.de/10012203653