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Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10011855148

Risk-return profiles of Islamic equities and commodity portfolios in different market conditions

Kabir, Sarkar Humayun; Masih, Abdul Mansur M.; … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1477-1500

Persistent link: https://www.econbiz.de/10011823800

Study of BRICS stock return volatility during and after subprime crisis

Kishor, Nawal; Singh, Raman Preet - In: International journal of business and globalisation : IJBG 18 (2017) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10011800038

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10011858928

Current volatility as a measure of market risk

Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349

Persistent link: https://www.econbiz.de/10011859119

Where is the risk reward? : the impact of volatility-based fund classification on performance

Ewen, Martin - In: Risks : open access journal 6 (2018) 3, pp. 1-20

This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data … on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … mean returns, but significantly lower SRs for the volatility-based strategies. This evidence suggests that neither the …

Persistent link: https://www.econbiz.de/10011890779

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Measuring the mutual fund industry risk management and performance sustainability : quantile regression model

Lee, Joe-ming - 2013

We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility …, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied …

Persistent link: https://www.econbiz.de/10009776201