Showing 1 - 10 of 29,188
-country tests of risk substitution theory that encompasses and criticises all of them …
Persistent link: https://www.econbiz.de/10014049376
uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a …
Persistent link: https://www.econbiz.de/10012997223
of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …
Persistent link: https://www.econbiz.de/10012997402
This paper studies the aggregation of a downside risk measure introduced by Fishburn (1977). Properties of aggregated downside risk are examined and compared to classical risk measures such as standard deviation and value-at-risk. The notion of downside-efficient portfolios that maximize the...
Persistent link: https://www.econbiz.de/10012951589
We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...
Persistent link: https://www.econbiz.de/10013030805
We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...
Persistent link: https://www.econbiz.de/10013033022
uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a …
Persistent link: https://www.econbiz.de/10013033028
We use a panel dataset from the Dutch Household Survey, covering annually the period 1995-2012, to analyse whether individual financial risk taste changes over time with the background macroeconomic and financial conditions, as well as personal and subjective exposure to portfolio risk....
Persistent link: https://www.econbiz.de/10013034711
Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the...
Persistent link: https://www.econbiz.de/10013035935
. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty …
Persistent link: https://www.econbiz.de/10012987227