This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance …, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of …. However, although the ASEAN indexes have higher extreme risk, we find that a portfolio with these indexes has slightly lower …

In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the … of the MV portfolio along with its mean and risk return when the sample covariance matrix is equal to a constant matrix …. We use the mean squared error (MSE) to characterize the effects of estimation error in mean returns on the joint sampling …

This paper analyses the fundamental drivers of risk and return in portfolios of private equity fund investments. We … ability of the investor influence the risk/return characteristics. Our findings point to the importance of diversification … across multiple underlying funds as an important tool to mitigate capital risk, while the marginal returns to increasingly …

In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for … absolute benefits of risk reduction by testing the homogeneity of variances of portfolios of different sizes using Levene …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

higher risk-adjusted returns for a short period. The SIP frequency plays a role in determining the return outcomes only for … short time horizons. Over long periods, the SIP frequency has little impact on returns and risk. Our findings show that SIPs …