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SSRN Electronic Journal, 2016
We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
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We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
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SSRN Electronic Journal, 2021
The risk dogma believes that asset price is determined by a certain risk, while equilibrium pricing believes that asset price is determined by the market equilibrium of supply and demand. The analytical solution to the CAPM (capital asset pricing model) market equilibrium shows that beta is endogenous and is not a characteristic of individual ...
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The risk dogma believes that asset price is determined by a certain risk, while equilibrium pricing believes that asset price is determined by the market equilibrium of supply and demand. The analytical solution to the CAPM (capital asset pricing model) market equilibrium shows that beta is endogenous and is not a characteristic of individual ...
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ON SYSTEMATIC AND UNSYSTEMATIC COMPONENTS OF FINANCIAL RISK
The Journal of Finance, 1972THE RELATION between the characteristics of uncertain cash flows and their equilibrium prices in perfect capital markets is one of the main topics of analysis in the theory of finance. Within this context, the issue of the existence of "unsystematic" risks has aroused considerable interest and controversy.
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Is Systematic Risk Diversifiable? Presentation of a Portfolio Model that Eliminates Systematic Risk
SSRN Electronic Journal, 2014The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta minus for descending markets – seems to be more qualified for ...
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Weighted Risk Capital Allocations in the Presence of Systematic Risk
SSRN Electronic Journal, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Furman, Edward +2 more
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The Annals of Applied Probability
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jacod, Jean, Lin, Huidi, Todorov, Viktor
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jacod, Jean, Lin, Huidi, Todorov, Viktor
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Roeper Review, 1999
This article describes systematic risk‐taking, a strategy designed to develop skills and increase self‐esteem, confidence and courage in gifted youth. The six steps of systematic risk‐taking include understanding the benefits; initial self‐assessment of risk‐taking categories; identifying personal needs; determining a risk to take; taking the risk; and
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This article describes systematic risk‐taking, a strategy designed to develop skills and increase self‐esteem, confidence and courage in gifted youth. The six steps of systematic risk‐taking include understanding the benefits; initial self‐assessment of risk‐taking categories; identifying personal needs; determining a risk to take; taking the risk; and
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Systematic Risk in the Macrocosm
2017The stock market fares poorly as an economic indicator. The reverse relationship—the impact of macroeconomic events on stock returns—often proves no less ambiguous. Closer examination of discount-rate effects, however, reveals the circumstances under which bonds decouple from stocks in a reversal of their usual positive correlation.
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The Economic Determinants of Systematic Risk
The Journal of Finance, 1974Robichek, Alexander A, Cohn, Richard A
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