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 …

investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to … April 2007, we show that fundamentally-weighted indexes achieve higher risk-adjusted returns than market …

We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data … between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt … by sound risk-return considerations, suggesting a lessening of the doom loop. This result is mainly driven by banks in …

This discussion paper aims at describing the risk-adjusted return of European sustainable and conventional investment … portfolios and comparing them to determine whether sustainable investment portfolios generate superior risk-adjusted returns. The … positively screenedand best-in-class portfolios using the Sustainalytics ESG risk rating with the help of modern portfolio theory …

identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight …