Results 71 to 80 of about 30,883 (281)
AlgorithmsThis paper proposes a hybrid methodology for portfolio optimization by integrating the data envelopment analysis (DEA) model with the mean semivariance (MSV) framework.
Abdelouahed Hamdi +3 more
doaj +1 more source
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
Downside Risk and the Momentum Effect [PDF]
Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return
Andrew Ang, Joseph Chen, Yuhang Xing
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An Optimised Investment Model of the Economics of Integrated Returns from CCS Deployment in the UK/UKCS [PDF]
, 2013 Publisher ...
Kasim, Sola, Kemp, Alexander G.
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Human Resource Management, EarlyView.ABSTRACT New ventures are expected to continuously add new jobs and managerial positions to meet the expanding demands of scaling. However, the rapid pace and inherent uncertainty of scaling often lead founders of new ventures to rely on heuristics when making these critical hiring and managerial appointment decisions.
Mohamed Genedy +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates how ESG rating divergences and climate transition risks jointly influence portfolio performance. Using a newly constructed composite Environmental (E) score derived from principal component analysis (PCA) across three leading ESG providers (Eikon, RobecoSAM, Sustainalytics), we build industry‐adjusted portfolios for 389
Ahmed Bouteska +2 more
wiley +1 more source
A systematic method of project selection based on risk and return criteria and according to the mean-semi-deviation behavioral hypothesis [PDF]
, 2007 The uncertain problem of Industrial project selection is the topic of discussion in this article. As the unrealistic assumption of certainty is relaxed in this problem, the decision maker is faced with a two-criterion decision model in which justifying ...
Jafarizadeh, Babak, Ramazani, Reza
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International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the relationship between economic policy uncertainty, risk aversion, and investors' attention for 15 equity indices across Asia, Europe, and North America. Our empirical results indicate that both risk aversion and economic uncertainty significantly increase the Google Search Volume across all equity indices.
Stephanos Papadamou +2 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates how the personal characteristics of finance ministers influence political budget cycles in Africa. Using a new dataset covering 300 finance ministers across 23 countries from 1980 to 2020, we find that political budget cycles primarily take the form of increased government consumption during election years.
Christine Olivia Strong
wiley +1 more source
Mean-semivariance behavior (II): The D-CAPM [PDF]
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior.
Estrada, Javier
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