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Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272
Persistent link: https://www.econbiz.de/10012815955
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Downside risk analysis of returns on the Karachi Stock Exchange
Rashid, Abdul; Hamid, Faiza - In: Managerial finance 41 (2015) 9, pp. 940-957
Persistent link: https://www.econbiz.de/10011337156
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Systematic tail risk
Oordt, Maarten van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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Managing market risk with VaR (Value at Risk)
Angelovska, Julijana - In: Management : journal of contemporary management issues 18 (2013) 2, pp. 81-96
Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial analysts use to quantify market risk. For estimating risk, the issue is that different ways to estimate volatility can lead to very...
Persistent link: https://www.econbiz.de/10010240752
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Average drawdown risk and capital asset pricing
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10010241626
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Insights to systematic risk and diversification across a joint probability distribution
Choo, Weihao; De Jong, Piet - In: Insurance / Mathematics & economics 67 (2016), pp. 142-150
Persistent link: https://www.econbiz.de/10011457218
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Tail Risk in the Cross Section of Alternative Risk Premium Strategies
Baltas, Nick - 2019
a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional … CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross …
Persistent link: https://www.econbiz.de/10012898606
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management
Alexeev, Vitali - 2019
We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...
Persistent link: https://www.econbiz.de/10012865575
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Risk management with expected shortfall
Wei, Pengyu - In: Mathematics and financial economics 15 (2021) 4, pp. 847-883
Persistent link: https://www.econbiz.de/10012616860