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The Downside Risk and Equity Evaluation: Emerging Market Evidence
Chen, Jianguo; Chen, Dar-Hsin - In: Journal of Emerging Market Finance 3 (2004) 1, pp. 77-93
In this paper we employ several risk measures to evaluate the equity returns in emerging markets. We focus on a downside risk approach, in particular, with shortfall probability, expected shortfall, downside variance and downside deviation. Our results show that return variance is important in...
Persistent link: https://www.econbiz.de/10010772801
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Optimal Portfolio Selection: A Note with a VBA Solution
Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
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On the Endogeneity of the Mean-Variance Efficient Frontier
Somerville, R. A.; Paul G. J. O’Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366
The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...
Persistent link: https://www.econbiz.de/10005600630
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A Fuzzy Decision-Making Approach for Portfolio Management with Direct Real Estate Investment
Eddie, Man Hui Chi; Otto, Fai Lau Muk; Kak, Lo Keung - In: International Journal of Strategic Property Management 13 (2009) 2, pp. 191-204
Theory (MPT), through fuzzy set theory; in obtaining portfolio return optimization involving direct real estate investment …
Persistent link: https://www.econbiz.de/10010534714
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A Fuzzy Decision-Making Approach for Portfolio Management with Direct Real Estate Investment
Eddie, Man Hui; Otto, Fai Lau; Kak, Lo - In: International Journal of Strategic Property Management 13 (2009) 2, pp. 191-204
Theory (MPT), through fuzzy set theory; in obtaining portfolio return optimization involving direct real estate investment …
Persistent link: https://www.econbiz.de/10010641372
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities.
Galagedera, Don U.A.; Shami, Roland - Department of Econometrics and Business Statistics, … - 2003
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005087581
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An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model
Andrade, Joaquim Pinto de; Teles, Vladimir Kuhl - Econometric Society - 2004
This paper develops a statistical model to study the brazilian country risk using a country beta model in spirit of Harvey and Zhou (1993), Erb et. al. (1996a, 1996b) and Gangemi et. al. (2000). Specifically, we analyze the impact of macroeconomic variables using a time-varying parameter...
Persistent link: https://www.econbiz.de/10005699580
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Beta Risk and Regime Shift in Market Volatility
Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004
In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...
Persistent link: https://www.econbiz.de/10005130158
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Beta Risk and Regime Shift in Market Volatility
Shami, Roland; Galagedera, Don U.A. - EconWPA - 2004
In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test...
Persistent link: https://www.econbiz.de/10005134927