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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10010490408
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Asset pricing with heterogeneous agents and non-normal return distributions
Beddock, Arthur - 2021
Persistent link: https://www.econbiz.de/10012617351
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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Interplay of insurance and financial risks in a stochastic environment
Tang, Qihe; Yang, Yang - In: Scandinavian actuarial journal 2019 (2019) 5, pp. 432-451
Persistent link: https://www.econbiz.de/10012194959
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Extremal behavior of long-term investors with power utility
Bäuerle, Nicole; Grether, Stefanie Ulrike - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10011733956
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Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective
Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449
Persistent link: https://www.econbiz.de/10011455704
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Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange
Öcal, Hüseyin; Kamil, Anton Abdulbasah - In: Scientific papers of the University of Pardubice 29 (2021) 2, pp. 1-13
This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been...
Persistent link: https://www.econbiz.de/10012517147
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Transformational approach to analytical value-at-risk for near normal distributions
Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19
, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in …
Persistent link: https://www.econbiz.de/10012483525
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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de/10014503297
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"KLICing" there and back again : portfolio selection using the empirical likelihood divergence and Hellinger distance
Haley, M. Ryan; McGee, M. Kevin - In: Journal of empirical finance 18 (2011) 2, pp. 341-352
Persistent link: https://www.econbiz.de/10009301111