Purpose: This study aims to propose the Shapley value that originates from the game theory to quantify the relative risk of a security in an optimal portfolio. Design/methodology/approach: Systematic risk as expressed by the relative covariance of stock returns to market returns is an essential...

A comprehensive empirical analysis of the mean return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using various GARCH models. The prediction performance of these conditional changing variance models is compared to newer asymmetric GJR and APARCH models. We...

This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...

This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different portfolio problems and the respective orderings used to rank investors' choices: (1) risk orderings, (2) variability orderings, and (3)...