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Mean-p portfolio selection and p-arbitrage for coherent risk measures

Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272

Persistent link: https://www.econbiz.de/10012815955

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

Weighted risk capital allocations in the presence of systematic risk

Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81

Persistent link: https://www.econbiz.de/10011825387

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Measuring model risk in financial risk management and pricing

Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012270928

A novel downside risk measure and expected returns

Liu, Jinjing - 2019

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

Persistent link: https://www.econbiz.de/10012113746