This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern … and the risk and investment effectiveness analysis in the stock exchange market in CEE with regard to NYSE2‑LSE‑HKSE2 … to investment risk, the stock exchanges in CEE, due to dynamic development, are improving their investment position with …