Different approaches to risk estimation in portfolio theory
Some new performance measures may be regarded as alternatives to the most popular
criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems …
criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems …
Sharpe thinking in asset ranking with one-sided measures
If we exclude the assumption of normality in return distributions, the classical risk–reward
Sharpe Ratio becomes a questionable tool for ranking risky projects. In line with Sharpe …
Sharpe Ratio becomes a questionable tool for ranking risky projects. In line with Sharpe …
Comparing and selecting performance measures using rank correlations
M Caporin, F Lisi - Economics, 2011 - degruyter.com
The financial economics literature proposes dozens of performance measures to be used,
for instance, to compare, analyse, rank and select assets. There is thus a problem: which …
for instance, to compare, analyse, rank and select assets. There is thus a problem: which …
Measuring the behavioural component of the S&P 500 and its relationship to financial stress and aggregated earnings surprises
Scholars in management and economics have shown increasing interest in isolating the
behavioural dimension of market evolution. Indeed, by improving forecast accuracy and …
behavioural dimension of market evolution. Indeed, by improving forecast accuracy and …
A time-scale analysis of systematic risk: wavelet-based approach
K Khalfaoui Rabeh, B Boutahar Mohamed - 2011 - mpra.ub.uni-muenchen.de
The paper studies the impact of different time-scales on the market risk of individual stock
market returns and of a given portfolio in Paris Stock Market by applying the wavelet …
market returns and of a given portfolio in Paris Stock Market by applying the wavelet …
Computational asset allocation using one-sided and two-sided variability measures
Excluding the assumption of normality in return distributions, a general reward-risk ratio
suitable to compare portfolio returns with respect to a benchmark must includes …
suitable to compare portfolio returns with respect to a benchmark must includes …
Rational learning for risk-averse investors by conditioning on behavioral choices
M Costola, M Caporin - Annals of Financial Economics, 2016 - World Scientific
The authors present a rational learner agent, which considers the information coming from a
behavioral counterpart during the allocation process. The learner agent adopts a herding …
behavioral counterpart during the allocation process. The learner agent adopts a herding …
Value-at-risk: is lacking in sub-additivity just an annoying technicality?
L Tibiletti - International Journal of Risk Assessment and …, 2008 - inderscienceonline.com
Following the final revision of Basel II, Value-at-Risk (VaR) is becoming one of the most
used risk measures for managing market and operational risks. Nevertheless, in recent …
used risk measures for managing market and operational risks. Nevertheless, in recent …
Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
We study the evolution of the behavioral component of the financial market by estimating a
Bayesian mixture model in which two types of investors coexist: one rational, with standard …
Bayesian mixture model in which two types of investors coexist: one rational, with standard …
[PDF][PDF] Empirical performance of alternative risk measures in portfolio selection-the case of South African stock market
R Macharia - 2021 - su-plus.strathmore.edu
Portfolio selection is the process of apportioning capital to a finite number of assets given the
wider set of all investment options. The decision of best combination of assets to invest in is …
wider set of all investment options. The decision of best combination of assets to invest in is …