This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the Shanghai Stock Exchange during January 1,...

The present study deals with the normal distribution of risk and return of the capital market of Bangladesh. Normal distribution of return is an essential assumption in the field of efficient market hypothesis which posits that the returns of a market must follow the random walk behaviour. Again...

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

We propose a simple and yet robust measure of tail neutrality. By this measure, hedge funds are more sensitive to market risk when the market experiences a substantial decline. This is also true when we consider a number of distinct hedge fund styles. This source of risk is not diversifiable,...

A large number of explanations of the low-risk anomaly have since been proposed, including leverage constraints, lottery preference, correction of market-driven overpricing, and so on. Based on data from the Chinese stock market, we conduct an examination of low-risk anomalies and investigate...