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Beta Coefficient as a Measure of Market Risk in Assessing Investment Attractiveness
Lukina, Yulia - 2023
theory, despite this, it is the CAPM beta that is the most common tool for integrating the risk factor into financial models … models, some disadvantages of beta CAPM …
Persistent link: https://www.econbiz.de/10014254255
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Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
León-Camacho, Bernardo; Mora-Valencia, Andrés; … - In: The engineering economist : a journal devoted to the … 67 (2022) 3, pp. 218-233
Persistent link: https://www.econbiz.de/10013362736
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A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness
Chew, Soo-Hong; Sagi, Jacob Shimon - In: Economic theory 74 (2022) 2, pp. 397-422
Persistent link: https://www.econbiz.de/10013442043
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Risk measures-based cluster methods for finance
Guedes, Pablo Cristini; Müller, Fernanda Maria; Righi, … - In: Risk management : an international journal 25 (2023) 1, pp. 1-56
Persistent link: https://www.econbiz.de/10013490814
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Is there a risk premium? : Evidence from thirteen measures
Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199
Persistent link: https://www.econbiz.de/10014490275
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
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Measuring Risk Structures of Assets : P-Index and C-Index
Chang, Kuo-Ping - 2023
Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or short-selling an asset when the asset provides at least δ...
Persistent link: https://www.econbiz.de/10014257646
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …
Persistent link: https://www.econbiz.de/10014289044
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Messung und Analyse der Performance von Wertpapierportfolios : eine theoretische und empirische Untersuchung
Wittrock, Carsten - 1995
Persistent link: https://www.econbiz.de/10013438213