Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic re-covery rates as a source of systematic risk have not received much attention so far, most likely due to the...

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavy tail...

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Arbitrage pricing model (APT) is one of the models that describe risk of investment on the capital market. The model has been widely used in the developed economies. The paper presents an application of the APT model on the Polish capital market, in particular on the stock investment funds. The...

I establish three stylized facts about global equity and bond return comovements: Equity return correlations are higher, asymmetric, and countercyclical, whereas bond return correlations are lower, symmetric, and weakly procyclical. To interpret these stylized facts, I formulate a dynamic...

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US...

This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios fromthe Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...