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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments

Berényi, Zsolt Endre - 2003

Persistent link: https://www.econbiz.de/10001754325

Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets

Schulmerich, Marcus - 2015

triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …

Persistent link: https://www.econbiz.de/10012402226

Factor mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...

Persistent link: https://www.econbiz.de/10014232089