Results 211 to 220 of about 6,244,015 (259)
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Risk Shifting or Just Risk-Adjusted Returns
SSRN Electronic Journal, 2016Intuitively, option-like compensation contracts induce risk-shifting behavior, confirmed by numerous empirical studies. However, theoretical work has shown that risk shifting should not happen without a definite expiration date of the option. With a sample of Commodity Trading Advisors (CTAs), we show that increases in risk (interpreted as risk ...
Jesse Blocher +2 more
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2011
This chapter discusses how to properly evaluate performance by taking into account not just return, as most commercial rankings do, but also risk. And because risk can be defined in more than one way, there is more than one measure of risk-adjusted returns.
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This chapter discusses how to properly evaluate performance by taking into account not just return, as most commercial rankings do, but also risk. And because risk can be defined in more than one way, there is more than one measure of risk-adjusted returns.
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Maximizing Active Risk Adjusted Return
SSRN Electronic Journal, 2012Information ratio is defined as the ratio between excess return and the standard deviation from excess return. The denominator of IR, at least in the context of multi-factor risk model, is defined as the active exposure times the factor covariances times the transpose of the active exposure matrix.
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Risk-Adjusted Returns and Stock Market Games
The Journal of Economic Education, 1995The integration of risk into the Stock Market Game is illustrated. The authors demonstrate how rewarding the participants for scoring well on a risk-adjusted basis, as well as the winner based on largest profits, is a means to bring portfolio diversification into the game.
Gary Kagan, Herbert Mayo, Robert Stout
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Risk-adjusted return managed carry trade
Journal of Banking & Finance, 2021Abstract We propose a simple dynamic currency carry trade strategy. Implementation of this strategy requires only two indicators: the aggregate forward discount and historic, global foreign exchange volatility. We find that our dynamic strategy delivers a significantly higher Sharpe ratio and greater skewness than a benchmark carry trade strategy ...
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Risk Adjustment in Private Equity Returns
Annual Review of Financial Economics, 2018This article reviews empirical methods to assess risk and return in private equity. I discuss data and econometric issues for fund-level, deal-level, and publicly traded partnerships data. Risk-adjusted return estimates vary substantially by method, time period, and data source.
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Risk-Adjusted Return Methods: an Application to the BIST
2023In the scope of the modern finance theory, it is not possible to deal with the return factor from the risk factor independently. While rationalist investors would like to maximize their returns on their investments, they want to minimize their risks. They expect to be rewarded with a higher return for the extra risk they take.
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A Risk-Adjusted Approach to Comparing the Return on Investment in Health Care Programs
International Journal of Health Care Finance and Economics, 2004The league table approach to rank ordering health care programs according to the incremental cost-effectiveness ratio is a common method to guide policy makers in setting priorities for resource allocation. In the presence of uncertainty, however, ranking programs is complicated by the degree of variability associated with each program.
Zimmermann, Heinz +2 more
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Risk-Adjusted Returns in Alternative Investments
2015Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the underlying investments have highly non-symmetric distributions.
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Alternative Cash Flow Measures and Risk-Adjusted Returns
Journal of Accounting, Auditing & Finance, 1986This paper compares different definitions of cash flow in terms of their incremental explanatory power over historical cost earnings by reference to changes in equity share prices. Two refined definitions of cash flow as well as a crude definition are examined.
Thomas Schaefer, Michael Kennelley
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