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Risk, Return and Portfolio Theory – A Contextual Note

Senthilnathan, Samithamby - 2015

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making investment decisions. This paper attempts to provide a brief theoretical explanation with examples on determining the returns and associated risk of shares, and of the portfolio of...

Persistent link: https://www.econbiz.de/10013019802

Short Sales Constraints and the Diversification Puzzle

Reed, Adam V. - 2019

Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors will disagree less about the value of a conglomerate than about each of its individual...

Persistent link: https://www.econbiz.de/10012904133

Expected Value of Asset Returns : Properties and Implications

Lappalainen, Aki - 2020

In this paper, I derive properties of expected value of asset returns and present their implications. I show that expected value of asset returns has no probability dimension and thus equals asset-specific risk-free rate of return and that any dependence between asset returns is captured by the...

Persistent link: https://www.econbiz.de/10012839182

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012022291

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic 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...

Persistent link: https://www.econbiz.de/10012942864

Testing the Local Martingale Theory of Bubbles using Cryptocurrencies

Choi, Soon Hyeok; Jarrow, Robert - 2021

Cryptocurrencies provide the ideal and natural experimental setting to test the local martingale theory of bubbles … prevalence of bubbles in cryptocurrencies and supports the feasibility of applying the local martingale theory of bubbles to …, because they have no cash flows. Using this theory, we test for the existence of price bubbles in eight cryptocurrencies from …

Persistent link: https://www.econbiz.de/10013251355

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Kim, Kangwhee - 2011

In this study, the well-known pairs trading strategy, one of typical market neutral strategies, is modified to be able to utilize high frequency equity data, and it is applied to the constituent shares of the KOSPI (Korea Composite Stock Price Index) 100 index. This study is distinguished from...

Persistent link: https://www.econbiz.de/10013121322

On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters : 1. Stratanovich – Kalman – Bucy Filters for Gaussian Linear Investment Returns Distribution and 2. Particle Filters for Non-Gaussian Non-Linear Investment Returns Distribution

Ledenyov, Dimitri - 2015

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

Persistent link: https://www.econbiz.de/10013025088

Dynamic Risk-Aware Yield Search : A Useful Tool for Fixed Income Investors

Chakravorty, Gaurav - 2019

Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, we look at interest rate risk, credit risk,...

Persistent link: https://www.econbiz.de/10012893781

Screening Rules and Portfolio Performance

Leon, Angel - 2018

momentum risk factor …

Persistent link: https://www.econbiz.de/10012925793