to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …

Prior studies challenge the practical usefulness of Markowitz portfolio optimization in improving the return-risk … optimization improves mutual fund portfolios' risk-adjusted performance despite noisy expected return estimates inferred from … mutual fund portfolio weights. Several alternative optimization strategies, including the risk-parity portfolio, minimum …

Theory argues that the rationale for the existence of closed-end funds (CEFs) is that they provide investors indirect … reasoning, we show that risk-averse investors invest in CEFs to diversify their portfolios into the illiquid markets in which …

the stochastic discount factor and deviates from the standard security market line when beta risk is priced. When … estimating the model on returns and options we find that allowing for beta risk helps explain the expected returns on the low and …

implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

-and-hedge strategy involving taking a long position in convertible bonds (“CBs”) while hedging the equity risk alone explains a … market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact … collectively being rewarded for playing an intermediation role of funding CB issuers whilst distributing part of the equity risk of …