This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully …

through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could … commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is …

sector is no longer perceived by the markets as a common risk source, overcoming the negative picture coming from the … financial crisis of 2008-2009. The analysis also suggests that the common risk is broadly affected by the ECB monetary policy …, and the idiosyncratic risk is linked to the recapitalization processes. …