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 …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

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

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …