making under risk ; retirement portfolios …

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 …

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 …

risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. … dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce …

the risk free asset according to the perceived state of the nature. Our purpose is to evaluate if there is an active … which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …