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Selection of the right risk measures for portfolio allocation

Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

Persistent link: https://www.econbiz.de/10010531305

Gold and exchange rates : downside risk and hedging at different investment horizons

Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: International review of economics & finance : IREF 34 (2014), pp. 267-279

Persistent link: https://www.econbiz.de/10010533150

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...

Persistent link: https://www.econbiz.de/10011376286

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Life insurer cost of equity with asymmetric risk factors

Bajtelsmit, Vickie; Villupuram, Sriram V.; Wang, Tianyang - In: The financial review : the official publication of the … 50 (2015) 3, pp. 435-457

Persistent link: https://www.econbiz.de/10011338149

Rewards for downside risk in Aisan markets

Alles, Lakshman; Murray, Louis - In: Journal of banking & finance 37 (2013) 7, pp. 2501-2509

Persistent link: https://www.econbiz.de/10009760610

Downside risk in multiperiod tracking error models

Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283

Persistent link: https://www.econbiz.de/10010356930

No arbitrage conditions and expected returns when assets have different β's in up and down markets

Xu, Peter; Pettit, R. Richardson - In: The journal of asset management 15 (2014) 1, pp. 62-71

Persistent link: https://www.econbiz.de/10010370069

Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets

Tse, Yiuman - In: The financial review : the official publication of the … 51 (2016) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10011436801

Aversion to risk and downside risk in the large and in the small under non-expected utility : a quantile approach

Chavas, Jean-Paul; Kim, Kwan-soo - In: Theoretical economics letters 5 (2015) 6, pp. 784-804

Persistent link: https://www.econbiz.de/10011439614

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