Similar Search Results

Detecting prudence and temperance in risk exposure : the hybrid variance framework

Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88

Persistent link: https://www.econbiz.de/10014546352

Extended omega ratio optimization for risk-averse investors

Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506

Persistent link: https://www.econbiz.de/10011724426

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2025

Persistent link: https://www.econbiz.de/10015338080

Role of hedging on crypto returns predictability : a new habit-based explanation

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473553

Ambiguous investor sentiment

Wagner, Moritz; Wei, Xiaopeng - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061580

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2023 - This version: August 2023

Persistent link: https://www.econbiz.de/10014470638

Stock-Bond Correlation and Out-of-Sample Portfolio Performance Using Analyst Forecasts

Jivraj, Farouk - 2017

In this paper I examine whether one can use analyst forecasts of macroeconomic variables to improve investors ex-ante allocation of wealth between stocks and bonds. Such forecasts provide a forward-looking approach which I find improves investor's information set for the myopic stock-bond...

Persistent link: https://www.econbiz.de/10012975364

Return Prediction and Stock Selection from Unidentified Historical Data

Sonsino, Doron - 2018

The experimental approach is applied to explore the value of unidentified historical information in stock-return prediction. Return sequences were randomly drawn cross section and time from historical S&P500 data. Subjects were requested to predict returns or select stocks from 12 preceding...

Persistent link: https://www.econbiz.de/10012940698

Risk-on/risk-off: measuring shifts in investor sentiment

Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - 2024 - This version: November 21, 2024

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global … investor risk taking behavior. Our high-frequency RORO index captures time-varying investor risk appetite across multiple … dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits …

Persistent link: https://www.econbiz.de/10015199247