The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...

We examine the empirical differences in emerging market betas taken across four major currencies (US dollars, sterling, yen, and German marks) where the betas considered are either mean-variance or mean-lower partial moment betas. The mean-variance betas are found to be statistically similar to...

Some investors may benefit from using measures of risk other than the variance in their investment decisions, specially if they are concerned with minimizing the downside risk of their portfolios. An accessible numerical method for calculating hedge ratios given any measure of risk is presented....

This article examines claims about the diversification benefits of real estate. In particular, does real estate investment in a mixed asset portfolio provide protection when other asset classes are performing badly? Conventional portfolio strategy models utilising covariance statistics may...

The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we...

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller...

The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices...

We determine optimal consumption paths under a series of returns scenarios for charitable endowments with distinct tastes over investment risk and inter-temporal substitution. Charities typically prefer smooth consumption paths but are investment-risk tolerant. Using a recursive, Kreps-Porteus...

The purpose of this paper is to examine the properties of locally explosive regimes in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011) [Journal of Time Series Econometrics, 3]. We study the conditions under which a...