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The value premium and uncertainty : an approach by support vector regression algorithm
Khoa Bui Thanh; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …
Persistent link: https://www.econbiz.de/10014500739
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On Animal Spirits and Economic Decisions : Value-at-Risk and Value-within-Reach as Measures of Risk and Return
Joaquin, Domingo C. - 2017
Let us suppose that presently unimagined is possible, that “the unexpected may happen” (Marshall, 1920, p. 347). Then “human decisions affecting the future, whether personal, political or economic, cannot depend on strict mathematical expectation since the basis for making such...
Persistent link: https://www.econbiz.de/10012971409
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Determining and Allocating Diversification Benefits for a Portfolio of Risks
Choo, Weihao - 2015
A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the diversification benefit be? And how should the benefit be...
Persistent link: https://www.econbiz.de/10013039523
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Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?
Gutierrez, Tomás - 2018
In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this approach and show that such funds exhibit erratic...
Persistent link: https://www.econbiz.de/10012913303
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Three Modules for Introducing Students to Cryptocurrency Risks and Returns
Boni, Leslie; Majadillas, Mary Anne - 2022
We present three modules that can be used in finance and investment courses to introduce undergraduate students to cryptocurrency risks and returns. Detailed instructions include learning objectives, assignment instructions, and links to free online resources. In Module 1, students are provided...
Persistent link: https://www.econbiz.de/10013492465
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Risk and Return in General : Theory and Evidence
Falkenstein, Eric G. - 2011
Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an equilibrium in asset markets. This paper presents a...
Persistent link: https://www.econbiz.de/10013134606
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Investment Uncertainty and Stock Returns
Chiou, Chyi-Lun - 2010
This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns … explain the value premium. Second, we investigate how uncertainty about investment affects expected stock returns. Based on … the closed-form solution in our framework, we suggest that less uncertainty about investment induces lower expected stock …
Persistent link: https://www.econbiz.de/10013148463
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Reward-Risk Ratios
Cheridito, Patrick - 2013
We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples. All ratios in the three families are monotonic and quasi-concave, which means that they prefer more to less and encourage diversification. Members of the second family are also...
Persistent link: https://www.econbiz.de/10013090253
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Macroeconomic Uncertainty, Risk, and Country Index Returns : International Evidence
Jiang, Christine X. - 2013
This paper investigates the relation between uncertainty and stock index returns for 15 countries. An innovation is to … use macro-uncertainty at both the country and global level. Our results suggest that country-specific GDP uncertainty, but … not global GDP uncertainty is positively correlated with country returns. In contrast, we find that global inflation …
Persistent link: https://www.econbiz.de/10013090305
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What is Risk? How Investors Perceive Risk in Return Distributions
Zeisberger, Stefan - 2021
Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only used by academics but also financial advisors, regulators and more. This paper comprehensively examines whether volatility is consistent with investors’ actual perception of...
Persistent link: https://www.econbiz.de/10013246351