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Risk Measures and Investment Performance Prediction
Haidar, Haidar; Minsky, Bernard; Tang, Qi - 2012
This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk … statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures … that were used in the test. The risk statistics were standardized and linearly transformed into a new set of factors where …
Persistent link: https://www.econbiz.de/10014177190
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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How to predict gender-differences in choice under risk : a case for the use of formalized models
Powell, Melanie; Schubert, Renate; Gysler, Matthias - 2001
Women are stereotyped as more risk averse than men. Empirical and experimental investigations seem to support the … tries to integrate gender aspects into five main models from decision theory. We can show that according to the model …
Persistent link: https://www.econbiz.de/10001726237
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A Forecast Combination Approach to Equity Factor Timing
Fraikin, Michael - 2020
We investigate the benefits of forecast combination for timing equity factors based on predictive regressions using macro predictors. Relative to standard predictive regression models, forecast combination reduces the noise of forecasts and hence improves their out-of-sample predictive accuracy....
Persistent link: https://www.econbiz.de/10012839669
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What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability
Escobar, Marcos - 2014
returns are predictable with observed and unobserved factors. The stock risk premium is taken to be an affine function of the …
Persistent link: https://www.econbiz.de/10013043954
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Forecasting Long-Horizon Factor Volatility
Zeissler, Tom Oskar Karl - 2022
term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …
Persistent link: https://www.econbiz.de/10013289776
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Overconfident Forecasts and Active Portfolio Performance
Kemkhadze, Nato - 2014
risk, is attributed to the loss in utility due to being led to hunt for an inappropriate portfolio. We quantify the utility …
Persistent link: https://www.econbiz.de/10013061761
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The risk-asymmetry index as a new measure of risk
Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Multinational finance journal 22 (2018) 3/4, pp. 173-210
Persistent link: https://www.econbiz.de/10012547710