Results 331 to 340 of about 7,301,086 (391)

Greater Parametric Downside Risk Aversion

SSRN Electronic Journal, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
openaire   +2 more sources

Extreme downside risk co-movement in commodity markets during distress periods: a multidimensional scaling approach

, 2020
We analyze the co-movement of a number of commodity markets in extreme financial episodes worldwide. More specifically, we provide extreme downside risk co-movement maps of these markets during six recent distress periods. We follow an expected shortfall-
G. Fernández-Avilés, J. Montero, Lidia Sanchis-Marco   +2 more
semanticscholar   +1 more source

Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure

Communications in Statistics - Simulation and Computation, 2013
In 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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Hedging the downside risk of commodities through cryptocurrencies

, 2020
Today, commodities are exposed to ever-increasing price volatilities due to extreme market uncertainties linked with financialization. The paper addresses a timely question of whether cryptocurrencies are hedge and safe-haven for commodities. We focus on
M. Naeem, Saqib Farid, Faruk Balli, S. J. Hussain Shahzad   +3 more
semanticscholar   +1 more source

Does Social Similarity Pay Off? Homophily and Venture Capitalists’ Deal Valuation, Downside Risk Protection, and Financial Returns in India

, 2020
We ask how social similarity between start-up founders and venture capitalists (VCs) influences VCs’ pricing decisions and returns on investments.
K. Claes, B. Vissa
semanticscholar   +1 more source

Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises

Energy Economics, 2023
M. Naeem, Nadia Arfaoui
semanticscholar   +1 more source

Measuring Downside Portfolio Risk

The Journal of Portfolio Management, 1999
Value at risk (VaR) is an approach used in risk management to measure downside risk. Not all VaRs, however, are created equal. Defining and accurately measuring market risk is a considerable task. VaR estimates depend on a number of inputs, including assumptions, data parameters, and methodology.
Frederik Johansson, Michael J. Seiler, Mikael Tjarnberg   +2 more
openaire   +1 more source

Downside Risk in the Oil Market: Does It Affect Stock Returns in China?

, 2020
In this paper, we investigate the impact of downside risk in the oil market on the expected stock returns in China’s A-share market, and find that downside risk positively influences the expected stock returns.
Zhi Su, Xuan Mo, Libo Yin
semanticscholar   +1 more source

Extreme downside risk transmission between green cryptocurrencies and energy markets: the diversification benefits

Finance Research Letters, 2023
M. Naeem, T. Nguyen, Sitara Karim, B. Lucey   +3 more
semanticscholar   +1 more source

MEASURING ORGANIZATIONAL DOWNSIDE RISK

Strategic Management Journal, 1996
Despite widespread incorporation of risk measures in strategy research, there is little consensus regarding the meaning and measurement of risk. In contrast to the variability measures widely used in strategy studies, this paper draws from behavioral decision theory, finance, and management theory to present an alternative perspective on organizational
KENT D. MILLER, JEFFREY J. REUER
openaire   +1 more source