yields mixed results. This paper investigates the differences in risk profiles and realized returns between ethical and non … years of poor stock market performance, which indicates that systematic risk of ethical funds may be higher. …

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a … causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on … shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative …

Open-end real estate funds (so called “Offene Immobilienfonds”) play a major role in the German market for securitised … investment management companies. This study seeks to identify the risk and return profile of this investment vehicle (before and …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported … normally and fat tailed distributed returnsand show that adjustment is particularly relevant for downside risk measures in … thecase of fat tails. A hedge fund case study reveals that the unadjusted risk measuresconsiderably underestimate the true …