risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

finding is in line with the option theory of investment and implies that irreversibility effect of increased uncertainty … precautionary demands and producers’ supply. However, studies analysing the effect of oil price uncertainty on investment, do not … relationship between investment and uncertainty for a panel of U.S. firms operating in oil and gas industry with a new approach. We …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …

model, I show that declining real interest rates since the 1980s increased the risk premium, driving the increase in risky … asset holdings. The model predicts that firms with higher exposure to risky assets experience an investment decline up to 50 …