In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not …, and explore the merits of beta in that context. Ultimately, we ask two questions: 1) Is beta a good measure of risk? And … of beta outperforms a passive strategy in terms of both returns and risk-adjusted returns …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong … statistically significant value, momentum and other risk effects, with positive returns associated with these strategies, which … could either be classified as pure alpha (anomalies) or simply remuneration for additionally born risks (additional risk …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … a core of commodities and TIPS, funded proportionally from return-seeking and risk-reducing assets; Add inflation …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade …. The risk-return tradeoffs associated with equity exposure, particularly for workers approaching retirement, underscore the … importance of full disclosure, realistic assessment of risk tolerance and participant behavior, and due consideration of income …

The risk of financial ruin during retirement plays a critical role in the formation of equity premiums. Retirees … supply side, for retirees who seek to reduce the risk to outlive their money, the average asset-weighted risk-neutral equity … premium, proved to be around 8%. On the demand side, risk adjustments may be done using the traditional utility-based and …

In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular … high returns for a relatively low level of risk when combined into a portfolio of Canadian shares. Optimal portfolios were … derived based on historic (ex-post) observations and evaluated utilizing the mean return per unit of risk (MRPUR) performance …