We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

Risk forecasting is crucial for informed investment decision-making. Moreover, the salience of investment risk … increases during economically uncertain times. In this paper, we study how sell-side analysts form expectations of firm risk … use of quantitative/qualitative information improves their forecasts as predictors of firm risk. Together, our results …

methods in the Markowitz portfolio theory. This article contains an overview of the most important robust estimators applied … in the portfolio theory. All the methods have been grouped according to the method of determining the outliers and to the …

-strategy combination performs better in terms of expected return and risk than a larger basic model-strategy combination. Dynamic patterns …, from a risk-management perspective …

The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of … geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in … diversifying risk …

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability … measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk … nominal model. The Wasserstein approach suits for all types of model risk problems, ranging from the single-asset hedging risk …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

We propose a novel risk matrix to characterize the optimal portfolio choice of an investor with tail concerns. The … diagonal of the matrix contains the Value-at-Risk of each asset in the portfolio and the off-diagonal the pairwise Delta …-CoVaR measures reflecting tail connections between assets. First, we derive the conditions under which the associated quadratic risk …