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Risk-return trade-off for European stock markets
International Review of Financial Analysis, 2016 https://doi.org/10.1016/j.irfa.2016.03.018 This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets from 1986 to 2012. We use country specific, euro area, and US macro-finance factors to determine the conditional volatility and conditional return.
Charlotte Christiansen, Christos S Savva
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Mathematics, 2021 We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes.
David Vidal-Tomás +2 more
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Risk-Return Trade-Off for European Stock Markets [PDF]
SSRN Electronic Journal, 2013 This paper adopts dynamic factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets. We identify country specific, euro area, and global macro-finance factors to determine the conditional risk and return.
Nektarios Aslanidis +2 more
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Retail investors and overpricing of left-tail risk: evidence from the Korean stock market [PDF]
Seonmul yeongu, 2023 – The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future returns
Jungmu Kim +2 more
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The Risk-Return Trade-off in Human Capital Investment [PDF]
SSRN Electronic Journal, 2002 In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by using tests for mean-variance spanning.
Nielsen, Helena Skyt +2 more
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Detecting and Measuring Nonlinearity
Econometrics, 2018 This paper proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components.
Rachidi Kotchoni
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How Efficient Are Indian Banks in Managing the Risk-Return Trade-Off? An Empirical Analysis
Risks, 2020 Risk taking is an inherent element of the banking business. Banks make conscious decisions regarding risk taking as they expect to make more return if they take more risk.
Jalaludeen Navas +2 more
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Injury alters motivational trade-offs in calves during the healing period
Scientific Reports, 2021 Injury can produce long-lasting motivational changes that may alter decisions made under risk. Our objective was to determine whether a routine painful husbandry procedure, hot-iron disbudding, affects how calves trade off risk avoidance against a ...
Sarah J. J. Adcock, Cassandra B. Tucker
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Risk-Sensitive Policy with Distributional Reinforcement Learning
Algorithms, 2023 Classical reinforcement learning (RL) techniques are generally concerned with the design of decision-making policies driven by the maximisation of the expected outcome.
Thibaut Théate, Damien Ernst
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Monetary policy, financial conditions, and financial stability [PDF]
, 2014 In the conduct of monetary policy, there exists a risk-return trade-off between financial conditions and financial stability, which complements monetary policy's traditional trade-off between inflation and real activity.
Adrian, Tobias, Liang, Nellie
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