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Make the best from comparing conventional and Islamic asset classes: A design of an all-seasons combined portfolio

Foglie, Andrea Delle; Pola, Gianni - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio … including alternative instruments to increase diversification with hedging benefits by building asset allocations that perform …

Persistent link: https://www.econbiz.de/10013201168

Algorithm aversion as an obstacle in the establishment of Robo advisors

Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

the establishment of robo advisors. The subjects had to complete diversification tasks. They could either do this …

Persistent link: https://www.econbiz.de/10014332554

The effects of securitization for managing banking risk using alternative tranching schemes

Cadenas, Pedro; Gzyl, Henryk - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-25

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole … (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at … for securitization with two tranches, by finding their corresponding optimal diversification solutions, and by discussing …

Persistent link: https://www.econbiz.de/10014332619

A mean-variance diagnosis of the financial crisis: International diversification and safe havens

Eptas, Alexander; Leger, Lawrence A. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 97-117

crisis by evaluating the potential benefits of international diversification in the search for 'safe havens'. We use stock …

Persistent link: https://www.econbiz.de/10011843224

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin ('digital gold'). Our approach is to use several different multivariate GARCH models (dynamic...

Persistent link: https://www.econbiz.de/10012611022

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10013201050

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012611634

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10014332538

The Influence of information transparency and disclosure on the value of listed companies: Evidence from Vietnam

Le, Thai Xuan; Friday, H. Swint - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-14

This analysis examines the influence of information transparency and disclosure on the value of companies listed on the Vietnamese stock market. Data employed in this study were primarily gathered from the audited financial statements, management reports and other related documents of 430...

Persistent link: https://www.econbiz.de/10014332546

The Impacts of the Russia-Ukraine invasion on global markets and commodities: A dynamic connectedness among G7 and BRIC markets

Alam, Md. Kausar; Tabash, Mosab I.; Billah, Mabruk; … - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-20

The conflict between Russia and Ukraine has been causing knock-on effects worldwide. The supply and price of major commodity markets (oil, gas, platinum, gold, and silver) have been greatly impacted. Due to the ongoing conflict, financial markets across the world have experienced a strong...

Persistent link: https://www.econbiz.de/10014332553