Search Results - subject_exact:"Risk-return tradeoff"

Narrow search

A multifactor perspective on volatility-managed portfolios

DeMiguel, Victor; Martín-Utrera, Alberto; Uppal, Raman - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015168699

Show one more version 1

A Multifactor Perspective on Volatility-Managed Portfolios

DeMiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman - 2022

Book / Working Paper

The risk-return tradeoff among equity factors

Barroso, Pedro; Maio, Paulo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015132822

Optimal stock-bond portfolios for different investor objectives, horizons, and target returns

Hong, Eunpyo; Jeong, Jin-Gil; Mukherji, Sandip - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654528

The risk-return tradeoff : are sustainable investors compensated adequately?

Bannier, Christina E.; Bofinger, Yannik; Rock, Björn - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014325179

Application of volatility-managed portfolios in the context of a volatility index

Subramanian, Abhishek; Kayal, Parthajit - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014375126

Enhanced global asset pricing factors

Zimmermann, Lukas - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014365211

Capital-weighted volume, volume price confirmation, and famous investor portfolios

Lutey, Matt - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653926

Introduction to FinTech using Excel : In an R-assisted Learning Environment

Yan, Yuxing - 2025

Introduction and Excel Basics -- Blockchain (I): Numbers and Alphanumeric -- Blockchain (II): ASCII and Sha256 -- Ledge and Distributed Ledger -- Cryptography Basics: public and private keys -- Advanced Cryptography -- Cryptocurrency and Ganache -- Crypto markets, risk and risk-return tradeoff...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015431945

Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility

van Binsbergen, Jules H. - 2022

Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as well as -- if not better than -- their stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013293433

Show 2 more versions 2

Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility

van Binsbergen, Jules H. - 2020

Book / Working Paper

Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility

van Binsbergen, Jules H. - 2020

Book / Working Paper

Subjective Risk-Return Trade-off

Jo, Chanik; Lin, Chen; You, Yang - 2022

We conduct a novel survey of 2,548 nationally representative U.S. respondents to estimate subjective risk-return trade-offs in savings, government bonds, stocks, real estate, gold, and cryptocurrencies. We document a robust negative relationship between respondents’ perceptions of the risk and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013404291

Profilo rendimento-rischio di fondi comuni di investimento : il caso EURIZON CAPITAL S.G.R. S.p.A.

Rossi, Francesco; Gaioni, Francesco - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013347541

Is Bowman’s paradox an empirical artifact? Evidence from Asian emerging countries

Khan, Asad; Rehman, Zia ur; Badshah, Imtiaz; Khan, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015353935

Tägliche Renditen und Risiko von Luxusuhren unter Berücksichtigung des Wochenendhandels

Köstlmeier, Siegfried; Röder, Klaus - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014546540

State-dependent intertemporal risk-return tradeoff : further evidence

Chelikani, Surya; Marks, Joseph M.; Nam, Kiseok - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066062

Female CEOs' risk management and earnings performance during the financial crisis

Kang, Sungchang; Bang, Jeongseok; Ryu, Doojin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014512768

Is Bowman's paradox an empirical artifact? : evidence from Asian emerging countries

Khan, Asad; Rehman, Zia ur; Badshah, Imtiaz; Khan, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199584

Corporate diversification, economies of scope, and the risk-return relationship

Sakhartov, Arkadiy V. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015044764

Round-table questions on Harry Markowitz and his legacy in financial economics

Guerard, John Baynard; Lee, Cheng F.; Géczy, Christopher - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652152

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013201116

Show one more version 1

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - 2021

Article

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - 2021

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012587977

Equity markets risks and returns : implications for global portfolio capital flows during pandemic and crisis periods

Dziuba, Pavlo; Pryiatelchuk, Olena; Rusak, Denys - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012616041

Role of debt-to-equity ratio in project investment valuation, assessing risk and return in capital markets

Nukala, Vasishta Bhargava; Prasada Rao, S. S. - 2021

In this paper, a case study was performed with an aim to analyze the asset returns for two different companies and the risk and returns from capital projects using standard capital asset pricing method. To demonstrate how the present values of future cash flows are influenced by discount rates...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012493804

Risks and returns of cryptocurrency

Liu, Yukun; Tsyvinski, Aleh - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012546311

Show one more version 1

Risks and returns of cryptocurrency

Liu, Yukun; Tsyvinski, Aleh - 2018

Book / Working Paper

The Low-Volatility Anomaly Revisited

Perras, Patrizia J.; Reberger, Alexander; Wagner, Niklas - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014524038

Private equity and the leverage myth

Czasonis, Megan; Kinlaw, William; Kritzman, Mark; … - 2020 - This version: February 11, 2020

Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012225151

Optimal strategies for ESG portfolios

Alessandrini, Fabio; Jondeau, Eric - 2020

In a previous paper (Alessandrini and Jondeau, 2020), we demonstrate that in the last decade, investing according to screening based on environmental, social, and governance (ESG) criteria would have allowed investors to considerably improve the ESG quality of their portfolio without...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012219149

Benchmark discrepancies and mutual fund performance evaluation

Cremers, Martijn; Fulkerson, Jon A.; Riley, Timothy B. - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012805830

Show one more version 1

Benchmark Discrepancies and Mutual Fund Performance Evaluation

Cremers, Martijn - 2020

Book / Working Paper

Understanding Volatility-Managed Portfolios

Cejnek, Georg - 2020

Contrary to the intuition that the standard risk-return tradeoff should lead to underperformance of a portfolio that scales down exposure during volatile periods a recent paper by Moreira and Muir (2017) actually shows that volatility-managed portfolios produce robust and significant alphas. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012830952

The Economics of Aesthetics and Three Centuries of Art Price Records

Goetzmann, William N. - 2020

Aggregate art price patterns mask a lot of underlying variation--both in the time series and in the cross- section. We argue that, to increase our understanding of the market for aesthetics, it is helpful to take a micro perspective on the formation of art prices, and acknowledge that each...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012856537

Show one more version 1

The Economics of Aesthetics and Three Centuries of Art Price Records

Goetzmann, William - 2014

Book / Working Paper

Duration-based stock valuation : reassessing stock market performance and volatility

Binsbergen, Jules H. van - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012319395

Investor sentiment and the risk-return tradeoff

Amiri, Mohamed Marouen; Naoui, Kamel; Derbali, Abdelkader; … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012603757

Zur Aktienperformance während und außerhalb der Covid-19-Panemie : schützt ESG-konformes Verhalten vor einem schweren Krisenverlauf?

Meier, Jan-Hendrik; Lipkow, Niklas; Sator, Tim-Henning; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014247726

Multi-factor models after the financial crisis

Jessen, Ragnar; Hennecke, Peter; Topalov, Mihail - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014247727

Earnings announcement premium and return volatility : is it consistent with risk-return trade-off?

Tsafack, Georges; Becker, Ying; Han, Ki C. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014463244

Revisiting the ICAPM under the distortion of risk-return tradeoff in short-horizon stock returns

Chelikani, Surya; Nam, Kiseok; Wang, Xuewu - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014278645

Expected stock market returns and volatility : three decades later

Kassa, Haimanot; Wang, Feifei; Yan, Xuemin Sterling - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014370376

Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis

Yao, Jing; Yang, Yiwen - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014472100

Using covered calls to unlock growth equity for income investors

Staines, Joe; Onifade, Bolanle - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536633

Capturing unicorns : a new approach to valuing late-stage VC-backed companies and demystifying private markets

Arya, Sanjay; Ashhar, Sabeeh; Agarwal, Manan; Stanford, Kyle - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536638

Risk-mitigated deep value : bigger bang, less buck

Brown, Rob - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536644

Are precious metals mutual funds a good investment?

Malhotra, Davinder Kumar - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536646

Cryptocurrency : a new investment opportunity?

Lee, David Kuo Chuen; Guo, Li; Wang, Yu - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011798750

Show one more version 1

Cryptocurrency : A New Investment Opportunity?

Lee, David Kuo Chuen - 2019

Book / Working Paper

Volatility-Managed Portfolios : True Market-Timing with a False Theory?

Guo, Shuxin - 2019

The volatility-managed portfolio (VMP) offers an appealing market-timing strategy (Moreira and Muir, Journal of Finance, 2017). Unfortunately, an important theoretical result for VMP and the foundation of the paper's empirical study, namely the arbitrariness of the constant c in the portfolio...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012870894

On the performance of volatility-managed portfolios

Cederburg, Scott; O'Doherty, Michael; Wang, Feifei; … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012631928

Show one more version 1

On the Performance of Volatility-Managed Portfolios

Cederburg, Scott - 2019

Book / Working Paper

Spicing up a portfolio with commodity futures : still a good recipe?

Daigler, Robert T.; Dupoyet, Brice; You, Leyuan - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011673671

Show one more version 1

Spicing up a Portfolio with Commodity Futures : Still a Good Recipe?

Daigler, Robert T. - 2019

Book / Working Paper

Risk measures with applications in finance and economics

2019

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012058776

The standard portfolio choice problem in Germany

Breunig, Christoph; Huck, Steffen; Schmidt, Tobias; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012620765

Show one more version 1

The standard portfolio choice problem in Germany

Breunig, Christoph; Huck, Steffen; Schmidt, Tobias; … - 2019

Book / Working Paper

Risk analysis and portfolio modelling

2019

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012117977

Understanding the risk-return relation : the aggregate wealth proxy actually matters

Cederburg, Scott; O'Doherty, Michael - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012179374

Evaluating the performance of world allocation funds

Kanuri, Srinidhi; Malhotra, Davinder Kumar - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013179150