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Farm Level Risk Assessment Using Downside Risk Measures

Berg, Ernst; Starp, Michael - 2006

Recent and presumable future developments tend to increase the risk associated with farming activities. This causes an increasing importance of risk management. Farmers have a wide variety of possibilities to influence the risk exposure of their operations. Among them are the choice of the...

Persistent link: https://www.econbiz.de/10009483581

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

based on CVaR, CDaR and Omega, for both conservative and aggressive hedge fund investors. In order to estimate portfolio … CVaR, CDaR and Omega, a semi-parametric approach is proposed, in which first the marginal density of each hedge fund index …-based approach. Then hedge fund returns from this joint density are simulated in order to compute CVaR, CDaR and Omega. The semi …

Persistent link: https://www.econbiz.de/10009440952

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK

Zylstra, Michael J.; Kilmer, Richard L.; Uryasev, Stanislav - 2003

Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk which is compound by the firms financial risk. Financial risk is a function of the firms capital structure. In the short run it is difficult for the producer to...

Persistent link: https://www.econbiz.de/10009443416

Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach

Larsen, Ryan; Vedenov, Dmitry V.; Leatham, David J. - 2009

, CVaR. The CVaR, unlike VaR, is a coherent risk measure. Thus it does not suffer from many of the shortcomings of the VaR … returns were calculated for each region. Based on the VaR and the CVaR, the portfolio was optimized based on minimizing the …

Persistent link: https://www.econbiz.de/10009446300

Essays on asset allocation strategies for defined contribution plans

Basu, Anup K. - 2008

Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction of mean-variance framework by Markowitz, there is little agreement about appropriate portfolio choice for...

Persistent link: https://www.econbiz.de/10009437693

Studying How Changes in Consumer Sentiment Impact the Stock Markets and the Housing Markets

Johnson, Mark Anthony - 2010

Consumer sentiment has the ability to provide researchers with many avenues to test existingFinance and Economic theories. Chapter 1 introduces the issues that I seek to explore within the area ofBehavioral Finance. Chapter 2 utilizes thirty years of consumer sentiment data to explore...

Persistent link: https://www.econbiz.de/10009468624

Essays on Real Estate Investment Trusts

Wang - 2007

The first essay of this dissertation investigates the relationship between downside risk andreturns of real estate investment trusts (REITs) and assesses the performance of real estatemutual funds (REMFs). We measure the asymmetric risk through downside and upside betas andthrough the measures...

Persistent link: https://www.econbiz.de/10009468644

Essays on Real Estate Investment Trusts

Wang, Yunqing - 2007

The first essay of this dissertation investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the...

Persistent link: https://www.econbiz.de/10009451060

Studying How Changes in Consumer Sentiment Impact the Stock Markets and the Housing Markets

Johnson, Mark Anthony - 2010

Consumer sentiment has the ability to provide researchers with many avenues to test existing Finance and Economic theories. Chapter 1 introduces the issues that I seek to explore within the area of Behavioral Finance. Chapter 2 utilizes thirty years of consumer sentiment data to explore extant...

Persistent link: https://www.econbiz.de/10009451110