, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are … given. So we could analyze the price risk of group assets in more particular way. The conclusions show that assets are … hedged in simple way of one to one can not eliminates completely their market risk in many cases. So there should be an …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

equity premium to invest in risky assets. However, once she does invest because of a large risk premium, she becomes …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …

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