Narrow search
Showing 1 - 10 of 879,680
Cover Image
Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
Cover Image
Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …
Persistent link: https://www.econbiz.de/10010499593
Cover Image
Regime shifts in mean-variance efficient frontiers : some international evidence
Guidolin, Massimo; Ria, Federica - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …-Variance Optimization ; Asset Allocation ; International Portfolio Diversification. …
Persistent link: https://www.econbiz.de/10008990692
Cover Image
Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence
Guidolin, Massimo - 2010
equity portfolio diversification that substantial differences exist between bull and bear regime-specific frontiers, both in …
Persistent link: https://www.econbiz.de/10013136630
Cover Image
Cost of Capital and Valuation with Imperfect Diversification and Unsystematic Risks
Wolfrum, Marco - 2010
) are being planned? 2. Diversification. How should non-diversified (idiosyncratic) risks in capital cost and valuation be … returns to be evaluated. Chapter III then shows how a replication model can be used to take imperfect diversification into … account. The equity capital cost rate is calculated for an arbitrary degree of diversification and it is shown how a company …
Persistent link: https://www.econbiz.de/10013152153
Cover Image
Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
Cover Image
Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...
Persistent link: https://www.econbiz.de/10011906204
Cover Image
Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019
This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...
Persistent link: https://www.econbiz.de/10011993538
Cover Image
Short Sales Constraints and the Diversification Puzzle
Reed, Adam V. - 2019
Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors will disagree less about the value of a conglomerate than about each of its individual...
Persistent link: https://www.econbiz.de/10012904133
Cover Image
Diversification in Lottery-Like Features and Portfolio Pricing Discounts
Liu, Xin - 2019
I study the asset pricing implications of cumulative prospect theory on portfolio discounts. I extend Barberis and … Huang (2008) and show that a portfolio consisting of lottery-like stocks should trade at a discount due to diversification … mergers and acquisitions, and conglomerate discounts. My findings support cumulative prospect theory from an alternative …
Persistent link: https://www.econbiz.de/10012901184