Similar Search Results

Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

Allocating and forecasting changes in risk

Gaigall, Daniel - In: Journal of risk 25 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014283880

Allocating and forecasting changes in risk

Gaigall, Daniel - In: Journal of risk : JOR 25 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014487054

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Feunou, Bruno - 2019

their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

Persistent link: https://www.econbiz.de/10012900726