Narrow search
Showing 1 - 10 of 186
Cover Image
A diversification framework for multiple pairs trading strategies
Lee, Kiseop; Leung, Tim; Ning, Boming - In: Risks : open access journal 11 (2023) 5, pp. 1-18
diversification within our proposed framework. …
Persistent link: https://www.econbiz.de/10014333526
Cover Image
Unveiling outperformance : a portfolio analysis of top ai-related stocks against IT indices and robotics ETFs
Karoui, Ali Trabelsi; Sayari, Sonia; Dammak, Wael; … - In: Risks : open access journal 12 (2024) 3, pp. 1-21
In this study, we delve into the financial market to compare the performance of prominent AI and robotics-related stocks against traditional IT indices, such as the Nasdaq, and specialized AI and robotics ETFs. We evaluate the role of these stocks in diversifying portfolios, analyzing their...
Persistent link: https://www.econbiz.de/10014497423
Cover Image
On the diversification of fixed income assets
Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets …
Persistent link: https://www.econbiz.de/10012806470
Cover Image
On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal … to our results, one can take advantages from the diversification effect for marginal risks with finite mean. This …
Persistent link: https://www.econbiz.de/10014370410
Cover Image
Diversification and desynchronicity : an organizational portfolio perspective on corporate risk reduction
Shao, Xue-Feng; Guliamos, Kōstas Iō.; Luo, Ben Nan-Feng; … - In: Risks : open access journal 8 (2020) 2/51, pp. 1-16
reduction is diversification; however, evidence for the effectiveness of diversification remains inconclusive. According to … diversification and synchronization compensation. This study introduces “desynchronicity”, a process that operationalizes … 332 firms (from COMPUSTAT) were used to empirically test the relationships between diversification and risk, and …
Persistent link: https://www.econbiz.de/10012292861
Cover Image
Coherent diversification measures in portfolio theory : an axiomatic foundation
Koumou, Gilles Boevi; Dionne, Georges - In: Risks : open access journal 10 (2022) 11, pp. 1-19
We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model …. We propose a set of eight desirable axioms for this class of diversification measures. We name the measures satisfying … these axioms coherent correlation diversification measures. We study the compatibility of our axioms with rank …
Persistent link: https://www.econbiz.de/10014225949
Cover Image
Portfolio optimization for extreme risks with maximum diversification : an empirical analysis
Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26
huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … turnover, and the degree of diversification. DR outperforms other strategies. In particular, DR shows the highest return and …
Persistent link: https://www.econbiz.de/10013358817
Cover Image
Market and accounting measures of risk : the case of the Frankfurt stock exchange
Rutkowska-Ziarko, Anna - In: Risks : open access journal 10 (2022) 1, pp. 1-17
The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta coefficients as a systematic risk measure. The...
Persistent link: https://www.econbiz.de/10012805424
Cover Image
Contrarian profits in Thailand sustainability investment-listed versus in stock exchange of Thailand-Listed companies
Parichat Sinlapates; Surachai Chancharat - In: Risks : open access journal 10 (2022) 12, pp. 1-12
In contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand...
Persistent link: https://www.econbiz.de/10014230910
Cover Image
Inflation protected investment strategies
Mahlstedt, Mirco; Zagst, Rudi - In: Risks : open access journal 4 (2016) 2, pp. 1-21
In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the inflation hedging potential of stocks, bonds,...
Persistent link: https://www.econbiz.de/10011447243