Results 221 to 230 of about 28,896 (267)
Some of the next articles are maybe not open access.
2021
The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
openaire +1 more source
The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
openaire +1 more source
Recovering the FOMC risk premium
Journal of Financial Economics, 2020The Federal Open Market Committee (FOMC) meetings are among the most important economic events. We propose a novel method to recover the FOMC risk premium and drift sizes. Empirically, we find that for the 192 meetings from 1996 to 2019, the FOMC risk premium varies across meetings, from 1 to 326 basis points (bps) with an average of 45 bps.
Hong Liu, Xiaoxiao Tang, Guofu Zhou
openaire +1 more source
Theory and Decision, 1987
This paper develops characterizations of a risk premium and of the relation ''more risk averse'', for multi-dimensional problems where the agent is exposed to an insurable and an uninsurable risk. We generalize and inter-relate results of several authors in deriving a local ordering of the risk aversion of agents with differing ordinal preferences.
Ambarish, R., Kallberg, J. G.
openaire +2 more sources
This paper develops characterizations of a risk premium and of the relation ''more risk averse'', for multi-dimensional problems where the agent is exposed to an insurable and an uninsurable risk. We generalize and inter-relate results of several authors in deriving a local ordering of the risk aversion of agents with differing ordinal preferences.
Ambarish, R., Kallberg, J. G.
openaire +2 more sources
Review of Financial Studies, 2008
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.
Peter Carr, Liuren Wu
openaire +2 more sources
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.
Peter Carr, Liuren Wu
openaire +2 more sources
The Journal of Financial and Quantitative Analysis, 1978
The certainty-equivalent method of evaluating risky investments has been widely discussed in the literature ([2], [5], [14, p. 356], [19], [20]) and consists of applying a multiplicative factor, α t , to each period's expected cash flow, μ t , to produce a certainty-equivalent flow, α t μ t .
openaire +1 more source
The certainty-equivalent method of evaluating risky investments has been widely discussed in the literature ([2], [5], [14, p. 356], [19], [20]) and consists of applying a multiplicative factor, α t , to each period's expected cash flow, μ t , to produce a certainty-equivalent flow, α t μ t .
openaire +1 more source
EXPLAINING THE EQUITY RISK PREMIUM*
The Manchester School, 2006We develop a simple overlapping generations model in which the young have a choice in investing in equities or index‐linked bonds. Projections of share price uncertainty over a 30‐year period show that the risk associated with such long‐term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show
Lungu, Laurian, Minford, Patrick
openaire +2 more sources
2022
This thesis was scanned from the print manuscript for digital preservation and is copyright the author. Researchers can access this thesis by asking their local university, institution or public library to make a request on their behalf. Monash staff and postgraduate students can use the link in the References field.
openaire +1 more source
This thesis was scanned from the print manuscript for digital preservation and is copyright the author. Researchers can access this thesis by asking their local university, institution or public library to make a request on their behalf. Monash staff and postgraduate students can use the link in the References field.
openaire +1 more source
2002
Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
openaire +1 more source
Equity risk premiums are a central component of every risk and return model in finance. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. In the standard approach to estimating equity risk premiums we use historical returns, with the difference in annual returns on stocks and bonds over a
openaire +1 more source
Premium auctions and risk preferences
Journal of Economic Theory, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hu, A., Offerman, T., Zou, L.
openaire +3 more sources