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 …

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 …

underestimate the tail risk. By contrast, the GARCH models with Student's t conditional distributions capture the tail shape more …

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk … volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … referred gains range from 4 to around 150 basis points of minimum capital risk requirements. This research documents the …