three-months intervals for their willingness to take risk, three-months expectations of returns and risks for the market and … their own portfolio, and self-reported risk attitude. This unique dataset allowed us to analyze how these variables changed … over time, and whether changes in risk taking were related to changes in expectations and/or risk attitudes. Risk taking …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the …’s (1952) diversification formula has been used to measure the risk level of the individual portfolios. The results of the … study show that the diversification risk constantly decreases when we move from the portfolios with 47 stocks to the …

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …