excess returns. Unfortunately, extant portfolio formation methods that require the use of a risk model are open to the … criticism of time-varying risk factor loadings due to the changing composition of the portfolio over time. This is a serious … that are neutral with respect to the desired risk factors a priori. Consequently, no risk model is needed when analyzing …

This study aims at assessing the risk-return profile of stock portfolios by different levels of the foreign ownership … risk for stocks. In addition, our empirical analyses indicate that the portfolios with the foreign ownership ratio falling …