This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures … applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios … especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and …

This study investigates the valuation impact of a firm’s decision to cross list on a more (or less) prestigious stock … prestige for 45 country or regional stock exchange destinations between 1990 and 2006. We find that firms cross listing in a …

show an increase of credit risk during the crisis periods, and the differentiation of risk depending on the size of the … banking organization as well as the added capital that will be needed in order to hedge that risk. The execution of the …

distributed. The empirical size and power of the test are examined in Monte Carloexperiments. We apply the test to the Asian stock …

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic … criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a … European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …

female versus male directors on bidder boards initiating fewer bids, higher litigation risk facing target boards for …