-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory … results demonstrate that the combination of prospect theory and mean reversion can generate the disposition effect close to … seriously misleading if the prospect theory allocation framework ignores time-variation in expected returns such as mean …

Typically, models of stock prices or returns assume homogeneity of risk preference parameters. This study shows … modeling of IPO prices necessarily is with reference to the distribution of risk preference parameters that already are … sets, but is required to be robust to each of heterogeneity of risk preference parameters and existence, as an outcome, of …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …

determined exactly by her risk aversion, margin requirement and wealth. Thus every investor's optimal portfolio is explicitly …

stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk … excluded from the long leg of the strategy. This prefiltering significantly enhances a wide range of performance and risk …