Results 11 to 20 of about 6,244,015 (259)
Polynomial adjusted Student-t densities for modeling asset returns [PDF]
, 2022 We present a polynomial expansion of the standardized Student-t distribution. Our density, obtained through the polynomial adjusted method in Bagnato, Potì and Zoia (2015), is an extension of the Gram-Charlier density in Jondeau and Rockinger (2001).
Ñíguez, T.M., León, Á.
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The Treynor Ratio as a Risk-adjusted Return of Croatian Listed Firms
International Journal of Economic Sciences, 2023 Motivated by the importance of determinants of firm performance, especially in terms of risk-adjusted performance that considers underlying risks, this paper explores the effects of firm-specific determinants on risk-adjusted returns such as the Treynor ratio. Specifically, the authors explore whether firm size, capital expenditures, capital intensity,
Pavić Kramarić, Tomislava +2 more
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Intellectual capital and bank profitability: New evidence from Vietnam
Cogent Business & Management, 2020 This study empirically examines the impact of intellectual capital on bank risk-adjusted returns in Vietnam between 2007 and 2019 using the system generalized method of moments (GMM).
Tu D. Q. Le, Dat T. Nguyen
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Machine learning portfolio allocation
Journal of Finance and Data Science, 2022 We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset.
Michael Pinelis, David Ruppert
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Do survey expectations of stock returns reflect risk adjustments? [PDF]
Journal of Monetary Economics, 2018 Constatant que les données d’enquête sur les rendements attendus des actions ne correspondent pas aux anticipations rationnelles fondées sur des probabilités réelles, nous examinons si elles pourraient concorder avec d’autres hypothèses soulevées dans la littérature sur les anticipations relatives à l’évaluation des actifs.
Adam, Klaus +2 more
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Risks, 2023 Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs ...
Cristiana Tudor
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Measuring the risk-adjusted performance of selected soft agricultural commodities
Agricultural Economics (AGRICECON), 2022 In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton
Dejan Živkov +2 more
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Studying the effect of risk management on stock returns of companies listed in Tehran Stock Exchange [PDF]
, 2014 This study examines the relationship between risk management and stock returns of companies listed in Tehran Stock Exchange. To do this, 73 companies during the period of 2005 to 2010 were selected.
Asl Behbahani, Hossein Hasan +1 more
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Flight of the Condors: Evidence on the Performance of Condor Option Spreads in Australia
Applied Finance Letters, 2017 This paper examines whether superior nominal and risk-adjusted returns can be generated using condor option spread strategies on a large capitalized Australian stock.
Scott James Niblock
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PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX
İşletme Bilimi Dergisi, 2023 Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index.
Serdar Ramazan Kahraman, Kartal Somuncu
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