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Multivariate Dependence Risk and Portfolio Selection : An Application to International Stock Portfolio
Simo-Kengne, Beatrice - 2016
This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the portfolio expected return, CVaR, and the Sharp ratio. The portfolio is optimised under both multivariate GARCH models (DCC and GO-CARCH) and the copula approaches (Student t...
Persistent link: https://www.econbiz.de/10012980838
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Market ambiguity and individual investor information demand
Hasan, Rajib; Kumas, Abdullah; Laan Smith, Joyce van der - In: Journal of contemporary accounting & economics 14 (2018) 1, pp. 126-141
Persistent link: https://www.econbiz.de/10011855175
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More risk, more information : how passive ownership can improve informational efficiency
Buss, Adrian; Sundaresan, Savitar - 2020
Persistent link: https://www.econbiz.de/10012228949
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Downside risk of international stock returns
Galsband, Victoria - In: Journal of banking & finance 36 (2012) 8, pp. 2379-2388
Persistent link: https://www.econbiz.de/10009656247
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071
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Does downside risk matter more in asset pricing? : evidence from China
Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174
Persistent link: https://www.econbiz.de/10012313110
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Behavioral finance am Aktienmarkt : empirische Analysen zum Risikoverhalten individueller Anleger
Unser, Matthias - 1999
Persistent link: https://www.econbiz.de/10000676803
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Dynamic asset allocation
Madhogarhia, Pawan K.; Lam, Marco - In: The journal of asset management 16 (2015) 5, pp. 293-302
Persistent link: https://www.econbiz.de/10011416515
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Robust analysis for downside risk in portfolio management for a volatile stock market
Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011326281