This work aims to test whether social and environmental screening processes could
determine the financial performance of ethical or Socially Responsible Investment (SRI) …

This paper examines the impact of Kalman filtering as a technique for modeling the risk
levels of managed funds. Using a sample of Australian Multi-sector trusts we examine …

Asymmetric dependence in equities markets has been shown to have detrimental effects on
portfolio diversification as assets within the portfolio exhibit greater correlations during …

Our primary aim in this study is to determine the relation that exists between the use of
interest rate derivatives by public-traded life insurance firms and their exposure to interest …

This study measured the individual and conjoint effects of Argentina's primaries and first-and
second-voting presidential election results, as well as their post-election comparative effects …

Purpose Interest rate derivatives (IRDs) are the essential components of financial risk
management and are used across various industry sectors. The objective is to analyze the …

Recent research on time-varying systematic-risk (beta) modeling reveals significant
advantages in utilizing daily financial data and unobserved-component models. This …

We use a novel sample of exchange-traded security baskets managed by users of an online
platform to provide new evidence on the risk-taking behavior of portfolio managers under …

In this paper we build on the possibility that the use of the Cressie–Read family with the non-
parametic method for valuing European option might be extended to non-parametric …

We examine risk-taking behavior of mutual funds in ASEAN Economic Community by
applying parametric approach to determine whether it complies with the tournament …