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The Journal of Alternative Investments, 2016
It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
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It is well known that investors have asymmetric risk preferences when it comes to bearing downside risk versus participating in the upside. Options markets provide a useful and intuitive way to quantify these asymmetric preferences by way of the returns associated with being on either side. The authors show this using equity index options and find that
Roni Israelov +2 more
openaire +1 more source
Extreme Downside Risk and Financial Crises [PDF]
SSRN Electronic Journal, 2015 We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility ...
Harris, Richard D. F. +2 more
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SSRN Electronic Journal, 2012
In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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Journal of Applied Corporate Finance, 2006
Although investors associate risk with negative outcomes and downside fluctuations, modern portfolio theory does not. For investors, volatility per se is not necessarily bad; volatility below a benchmark is. A stock that magnifies the market's fluctuations is not necessarily bad; one that magnifies the market's downside swings is. Even Harry Mar‐kowitz,
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Although investors associate risk with negative outcomes and downside fluctuations, modern portfolio theory does not. For investors, volatility per se is not necessarily bad; volatility below a benchmark is. A stock that magnifies the market's fluctuations is not necessarily bad; one that magnifies the market's downside swings is. Even Harry Mar‐kowitz,
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Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure
Communications in Statistics - Simulation and Computation, 2013In this article, we propose a general downside risk measure based on high-frequency downward moves below minimum acceptable target in asset prices. We derive the central limit theorem of this measure, and Monte Carlo simulation experiments support our theoretical results.
Tao Bi, Bo Zhang, Huishan Wu
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2021
The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
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The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
openaire +1 more source
Downside risk: is downside risk being priced in the U.S. stock market?
2020This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. The study also examines and compares how well the Fama-French three-factor model, Carhart four-factor model, Fama-French five-factor Model, q-four factor model, and q-five factor model explain ...
Bahsoun, Raouf, Hakimi, Arsalan
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Greater downside risk aversion in the large
Journal of Economic Theory, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donald C. Keenan, Arthur Snow
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1991
The creation of some kind of economic union supported by a payments facility to ensure transferability in the prospective trade among the reforming countries of Eastern Europe is not, of course, without a number of drawbacks. These emerge first and foremost when the current environment for economic reform is viewed against the backdrop of fostering the
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The creation of some kind of economic union supported by a payments facility to ensure transferability in the prospective trade among the reforming countries of Eastern Europe is not, of course, without a number of drawbacks. These emerge first and foremost when the current environment for economic reform is viewed against the backdrop of fostering the
openaire +1 more source
The Low Downside Risk Effect - Lower Risk and Higher Returns with Low Downside Risk
SSRN Electronic Journal, 2013Past downside risk is shown to have an even stronger influence on future stock sector performance than past low risk as represented by traditional risk parameters that represent both down- and upside risk in one single measure.The fact past low (downside) risk stocks outperform past high risk stocks in the future (or the fact past high risk stocks don ...
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