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Tail risk managed investment strategies
Rickenberg, Lars - 2020
Persistent link: https://www.econbiz.de/10012483347
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Overconfidence, Under-Reaction, and Warren Buffett’s Investments
Hughes, John S. - 2010
Warren Buffett is a long-term investor, but is required by law to disclose his trades on a quarterly basis. The market seems to under-react to the revelation of his trades. From 1980 to 2006, it has been possible to achieve investment results similar to Buffett's own simply by following his...
Persistent link: https://www.econbiz.de/10013141408
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Delegated investing and optimal risk budgets
Starck, Markus O. - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432859
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Robust analysis for downside risk in portfolio management for a volatile stock market
Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011326281
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Common pricing across asset classes : empirical evidence revisited
Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324
Persistent link: https://www.econbiz.de/10013188701
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On the systematic downside risk measure : a note
Jan, Yin-Ching - In: International journal of financial research 7 (2016) 5, pp. 51-55
Persistent link: https://www.econbiz.de/10011579743
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A novel downside risk measure and expected returns
Liu, Jinjing - 2019
Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …
Persistent link: https://www.econbiz.de/10012113746
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Does downside risk matter more in asset pricing? : evidence from China
Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174
Persistent link: https://www.econbiz.de/10012313110
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Is downside risk priced in cryptocurrency market?
Dobrynskaja, V. V. - In: International review of financial analysis 91 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014446931
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Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of financial economics 144 (2022) 1, pp. 227-246
Persistent link: https://www.econbiz.de/10013407090