-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

the complete risk management process. An Example from a mechanical engineering company is used for the final validation of …

assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat … further risk reduction is possible by changing the portfolio weights. In either case, neglecting parameter heterogeneity can … heterogeneity can lead to overestimation of risk, whether measured by unexpected loss or value-at-risk. …

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies … sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock …

that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies … sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock …

in the context of Risk Management, the conclusion becomes apparent: The environmental uncertainty that surrounds … entrepreneurial actions includes both opportunities and threats. As commonly practiced though, Risk Management tools only address … Risk Management approach. Nevertheless, in terms of Erasmus, this approach represents the one-eyed man when compared with …

Over recent years, study on risk management has been prompted by the Basel committee for the requirement of regular … banking supervisory. There are however limitations of many risk management methods: 1) covariance estimation relies on a time … accurately and fast measure risk exposures of multivariate portfolios. The basic idea is to first retrieve out of high …