Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

overall equity market returns and volatility. The risk associated with investment decisions is measured by the exponential … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

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 …

how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these …