Results 31 to 40 of about 810,264 (301)
The short-term and long-term trade-off between risk and return: chaos vs rationality
Journal of Business Economics and Management, 2020 This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the ...
Chang Liu +3 more
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The risk-return trade-off in Europe: A temporal and cross-sectional analysis [PDF]
, 2011 This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several
Aragó, Vicent, Salvador, Enrique
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Jurnal Manajemen Indonesia, 2017 The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets
Andi Ivand Markemo Boangmanalu +1 more
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Risks, 2023 Traditionally, finance has paid attention to the risk-return trade-off. Recently, given the incorporation of the 2030 Agenda and climate change, a third pillar has been incorporated into the investment decision: sustainability.
Carlos Díaz-Caro +3 more
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Portfolio management and performance of deposit money banks (Dmbs) in Nigeria (1990–2020)
Research in Globalization, 2023 There have been a renewed focus on portfolio management of deposit money banks since the global financial crisis of 2007–09. This renewed focus is based on the understanding that an efficient portfolio management reduces risks and loss associated with ...
Christiana Fajinmi +2 more
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Estimating the Risk-Return Trade-Off with Overlapping Data Inference [PDF]
SSRN Electronic Journal, 2014 Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while maintaining the monthly or quarterly forecasting period, and we ...
Esben Hedegaard, Robert J. Hodrick
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Beyond CAPM: an innovative factor model to optimize the risk and return trade-off
Journal of Business Economics and Management, 2014 Different models have tried to improve the Capital Asset Pricing Model findings, on the basis that different factors can affect asset return. This paper examines a series of explanatory factors, broader than those explained by traditional theory, to see ...
Shima Lashgari +3 more
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IEEE Access, 2021 The study focuses on the strategic decisions including on the location and capacity of stations and the fleet size for designing the one-way station-based carsharing systems. Under demand uncertainty, we introduce a two-stage risk-averse stochastic model
Kai Zhang +3 more
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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off [PDF]
SSRN Electronic Journal, 2018 AbstractWe propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and show that these models typically do a poor job ...
Mikhail Chernov +2 more
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Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization [PDF]
Journal of Risk and Financial Management, 2020 This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity ...
Vaughn Gambeta, Roy Kwon
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