Results 161 to 170 of about 7,301,086 (391)
Optimal Design of Multi-Asset Options
RisksThe combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns
Alejandro Balbás +2 more
doaj +1 more source
The Use of Downside Risk Measures in Portfolio Construction and Evaluation [PDF]
One of the challenges of using downside risk measures as an alternative constructor of portfolios and diagnostic devise is in their computational intensity.
Dr. Brian J. Jacobsen
core
International Studies of Economics, EarlyView.ABSTRACT To explore the real effect of banking globalisation on bank liquidity creation, we investigate plausibly exogenous variations in the expectation of further banking globalisation under the Belt and Road Initiative (BRI), which further opens the gate to foreign investors.
Xuanyi Shi +3 more
wiley +1 more source
Management System EngineeringWe investigate the degree of asymmetry in the variance risk premium (VRP) using SSE 50 ETF options in the Chinese market. Our approach decomposes the VRP into upside and downside components and quantifies the dynamic spillover asymmetry measure (SAM ...
Jue Gong +3 more
doaj +1 more source
The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds
, 2009 Kai‐Hong Tee
openalex +2 more sources
Journal of Adolescence, EarlyView.ABSTRACT Introduction Technology plays a dual role in adolescents' lives, offering valuable avenues for social engagement and support while also introducing risks of social comparison, harassment, and loneliness. Qualitative data that centers on adolescent voices and contexts can illuminate the interplay of these protective and risk factors.
Xiaoqi Ma +5 more
wiley +1 more source
A Heuristic Approach to Portfolio Optimization [PDF]
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum.
Evis Këllezi, Manfred Gilli
core
Testing Downside Risk Efficiency Under Market Distress [PDF]
, 2008 In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations.
Gonzalo, J., Olmo, J.
core +3 more sources
Journal of Corporate Accounting &Finance, EarlyView.ABSTRACT This study investigates how Corporate Digital Transformation (CDT) influences audit opinions in Chinese A‐share‐listed non‐financial firms from 2011 to 2022, with a focus on the moderating role of Economic Policy Uncertainty (EPU). Results reveal an inverted U‐shaped relationship: moderate levels of CDT enhance audit outcomes through improved ...
He Min +2 more
wiley +1 more source