based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the …’s (1952) diversification formula has been used to measure the risk level of the individual portfolios. The results of the … study show that the diversification risk constantly decreases when we move from the portfolios with 47 stocks to the …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

rolling estimation approaches and robust Sharpe ratio testing we determine if during different market volatility states …

reactions to news and liquidity shocks as well as an asymmetry biased towards crashes. Risk aversion of traders is shown to be …

by a loss in one of the risky assets allows for the implementation of a hedging demand against contagion risk. Moreover …

Conventional finance suggests that the higher the risk of an investment, the higher the return it should give …. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk …-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks …

This paper investigates how the two technical drivers, volatility and correlation, influence the algorithm of the … traditionally applied pair selection procedure. In the US market, we find risk-adjusted monthly returns of up to 76bp for portfolios …, which are double sorted on volatility and correlation between 1990 and 2014. Our findings are robust to liquidity issues …