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The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
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Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal...
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This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...
Persistent link: https://www.econbiz.de/10014057675
This paper extends Jiang, et al. (2010), Guo, et al. (2018), and others by investigating the impact of background risk on an investor's portfolio choice in the mean- VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR...
Persistent link: https://www.econbiz.de/10012910559
This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient...
Persistent link: https://www.econbiz.de/10012931231