We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to … portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem … modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical …

This study investigates the relationship between bank capital and risk in the Indian banking sector. The sample … causality test to find out the relationship between risk and capital. The result signifies that there is a unidirectional … causality, i.e. risk is causing capital for all the three types of commercial banks. Furthermore, we examine the impact of risk …

that pseudo R-squared and confidence improve under the dividend policy when controlling for risk and dividend payers. We …

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …