According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …

-specific extreme market risks. First, we define tail market risk that captures dependence between extremely low market as well as asset … returns. Second, extreme market volatility risk is characterized by dependence between extremely high increments of market … that both frequency-specific tail market risk and extreme volatility risks are significantly priced and our five …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …

conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies … deliver economically large and statistically reliable negative profits in bad economic states when the expected market risk … premium is high, whereas positive profits in good economic states when the expected market risk premium is low. Our results …

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR … prove patterns of relation between risk and liquidity, both in individual stock levels and portfolios. This study also … clarified that diversifying portfolio stocks have yet toachieve risk reduction …

I implement the accounting-based risk measurement approach in equity valuation proposed by Nekrasov and Shroff (2009 … this risk measurement approach produce a significantly smaller valuation inaccuracy relative to the market-based approach … intrinsic value estimate based on the accounting approach. Additionally, the estimated risk can be transformed to obtain …

a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …