We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation … how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the … short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the domestic … necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using …

We investigate portfolio diversification strategies based on hierarchical clustering. These hierarchical risk parity … strategies use graph theory and unsupervised machine learning to build diversified portfolios by acknowledging the hierarchical … lower tail dependence coefficient. Such innovation is expected to achieve better tail risk management in the context of …

. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once … derivatives with less beta uncertainty (TIPS and options) are introduced. In line with this theory, we find that the inflation …

In this paper, we introduce a new class of risk measures and the corresponding risk minimizing portfolio optimization … deviation from a range of values centered on the single target value. By relaxing the definition of deviation, the proposed risk … measure is robust to the variation of data input and thus the resulting risk-minimizing portfolio has a lower turnover rate …

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …

that the DCC-NL estimator results in risk reduction and effciency increase in large portfolios as long as a small amount of …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Secondly, evaluating the …