risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable … these events could affect farmers’ risk aversion in decision making and justify their preferences for risk minimizing and … of polynomials and exponential (or “polynex”) functions to simulate risk aversion for specific traits of the E-V frontier …

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk …, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating … performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more …

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … concerning firms' abnormal returns and firms' systematic risk. This can be justified because stock prices adjusted instantly to …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …