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In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...
Persistent link: https://www.econbiz.de/10010294775
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10010325987
paradigmassumes that any investment strategy has its own “inherent reward”and “inherent risk” that can be judged with common sense …. Ijustify axiomatically the existence and uniqueness (ratio scale)of inherent reward (U) and inherent risk (D) that could … beregarded as universal measures of reward and risk for any giveninvestment strategy. Incorporating the notion of …
Persistent link: https://www.econbiz.de/10010324420
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative...
Persistent link: https://www.econbiz.de/10010322602
management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging … case that a bearish market is supposed, minimizing the variance of the hedge seems not to obtain better hedging results …, due to a very skewed return distribution of the hedge. The risk measure target-shortfall probability confirms the use of …
Persistent link: https://www.econbiz.de/10010290046
In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …
Persistent link: https://www.econbiz.de/10010263007
large risk. Therefore, there is a good potential for Hungarian investors to realize substantial benefits in terms of risk … examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of … hedging approaches are implemented. …
Persistent link: https://www.econbiz.de/10010316254
As past research suggest, currency exposure risk is a main source of overall risk of international diversified … portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance … of international investments. This study examines the effectiveness of controlling the currency risk for international …
Persistent link: https://www.econbiz.de/10010316299
We use a detailed panel data set of Swedish households to investigate the relation between their labor income risk and … switching jobs, which is consistent with the idea that households hedge their human capital risk in the stock market. The …
Persistent link: https://www.econbiz.de/10010320740
. This correlation exposes managers to risk and hence gives them an incentive to hedge against the poor performance of their … using financial markets and shareholders cannot perfectly monitor the manager's portfolio in order to keep him from hedging … the risk in his compensation. In particular, shareholders can monitor the manager's portfolio stochastically, and since …
Persistent link: https://www.econbiz.de/10010261074