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Risk-Free versus Risky Assets : Teaching a Portfolio Model With Application to the Stock Market

Berga, Dolors - 2019

In this paper we present an application where advanced undergraduate students can solve the expected utility portfolio model with a risk-free and a risky asset with both up and down returns in the Stock Market. With real Stock Market data, we use Excel Solver to find the portfolio decision and...

Persistent link: https://www.econbiz.de/10012860660

The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory

Le Marois, Olivier - 2019

The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of … distribution for assets return, we obtain the classical CAPM beta in LPT framework. We show that extreme risk underestimation by …

Persistent link: https://www.econbiz.de/10012905661

CAPM & Co. Revisited - Modeling Risk and Return of Private Equity Funds

Litty, Timo - 2009

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return model struggle with the dispersion of PE funds' returns,...

Persistent link: https://www.econbiz.de/10013156810

When Risks and Uncertainties Collide : Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets

Farinelli, Simone - 2019

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets …

Persistent link: https://www.econbiz.de/10012868421

Aumann and Serrano’s economic index of risk for sums of gambles

Li, Minqiang - In: Cogent economics & finance 2 (2014) 1, pp. 1-5

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

Persistent link: https://www.econbiz.de/10010469296

Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity

Malhotra, Yogesh - 2023

Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

Persistent link: https://www.econbiz.de/10014256748

Risk Valuation for Securities with Limited Liquidity

Sarkissian, Jack - 2016

Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk assessment techniques fail. This can lead to underestimated and distorted results for the entire investment portfolio, and ultimately to inadequate risk management. We...

Persistent link: https://www.econbiz.de/10012976857

Anatomy of Systematic Risk in Pools

Assa, Hirbod - 2023

While the 2008 financial crisis brought systemic risk to the forefront of risk management research, the COVID-19 pandemic has further highlighted the importance of studying systematic risk. This study seeks to examine the anatomy of systematic risk of a pool in a theoretical framework. Our...

Persistent link: https://www.econbiz.de/10014257549

Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …

Persistent link: https://www.econbiz.de/10013183970

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836