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Mathematical model of financial investment risk

Yin, Deyu - In: Journal of mathematical finance 8 (2018) 1, pp. 127-136

Persistent link: https://www.econbiz.de/10011846199

Berk, Jonathan - 2015

We infer which risk model investors use by looking at their capital allocation decisions. We find that investors adjust … for risk using the beta of the Capital Asset Pricing Model (CAPM). Extensions to the CAPM perform poorly, implying that … they do not help explain how investors measure risk …

Persistent link: https://www.econbiz.de/10013014478

Risikomanagement und kapitalmarktorientierte Finanzierung : Festschrift zum 65. Geburtstag von Bernd Rudolph

Schäfer, Klaus (ed.); Rudolph, Bernd (honouree); … - 2009

Persistent link: https://www.econbiz.de/10003836147

The measurement of market risk : modelling of risk factors, asset pricing, and approximation of portfolio distributions

Moix, Pierre-Yves - 2000

Persistent link: https://www.econbiz.de/10001463922

Optimal portfolio management in highly volatile markets

Stoyanov, Stoyan V. - 2005

Persistent link: https://www.econbiz.de/10003346695

Robust scenario optimization based on downside-risk measure for multi-period portfolio selection

Pınar, Mustafa C.̧ - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 295-309

Persistent link: https://www.econbiz.de/10003464177

A risk measure for S-shaped assets and prediction of investment performance

Tang, Qi; Haidar, Haidar; Minsky, Bernard; Thapar, Rishi - In: Journal / The Capco Institute : journal of financial … 34 (2012), pp. 175-181

Persistent link: https://www.econbiz.de/10010340583

The measurement and management of risk in R & D and innovation

Bosworth, Derek; Jobome, Gregory - In: International journal of technology management : IJTM 18 (1999) 5/6/7/8, pp. 476-499

Persistent link: https://www.econbiz.de/10001473802

Risk measures and the impact of asset price bubbles

Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56

Persistent link: https://www.econbiz.de/10011298886

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419