price and loss risk of JKII as an index of Islamic stock prices in Indonesia. This study extends the previous literature to …This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the … loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic … tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return …

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI … irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying …-Serrano performance index for multi-period gambles with that for one-period gambles as well as the Sharpe ratio. Our empirical study is …