Similar Search Results

A note on a new weighted idiosyncratic risk measure

Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198

Persistent link: https://www.econbiz.de/10010458525

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …

Persistent link: https://www.econbiz.de/10011867378

CAPM with various utility functions : theoretical developments and application to international data

Bedoui, Rihab; BenMabrouk, Houda - In: Cogent economics & finance 5 (2017) 1, pp. 1-21

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...

Persistent link: https://www.econbiz.de/10011882295

Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

Persistent link: https://www.econbiz.de/10011772607

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Mean-p portfolio selection and p-arbitrage for coherent risk measures

Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272

Persistent link: https://www.econbiz.de/10012815955

Reconciling negative return skewness with positive time-varying risk premia

Kyriakopoulou, Dimitra; Hafner, Christian M. - In: Econometric reviews 41 (2022) 8, pp. 877-894

Persistent link: https://www.econbiz.de/10013364913

Marktrisiken : Portfoliotheorie und Risikomaße

Kremer, Jürgen - 2018

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der Expected Shortfall -- Lösungen der Übungsaufgaben -- Index -- Literaturverzeichnis.

Persistent link: https://www.econbiz.de/10014018592

Risk

Hey, John Denis (ed.) - 1997

Persistent link: https://www.econbiz.de/10000947220

Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …

Persistent link: https://www.econbiz.de/10001805902