This study restricts itself to an analysis of the similarity between two widely employed measures of investment risk: common stock systematic risk and corporate bond ratings.' The capital asset pricing model [11, 14, 21] specifies that in a properly diversified portfolio, the relevant measure of ...
coherentmeasuresofrisk风险的连贯措施 系统标签: riskcoherentmeasuresaxiomsartznerquantile MathematicalFinance,Vol.9,No.3(July1999),203–228 COHERENTMEASURESOFRISK PHILIPPEARTZNER Universit´eLouisPasteur,Strasbourg FREDDYDELBAEN Eidgen¨ossischeTechnischeHochschule,Z¨urich JEAN-MARCEBER Soci´et´eG´en...
Improved Measures of Financial Risk for Hedge Funds Abstract During the current financial crisis, several US and foreign banks and investment firms have failed due to excessive losses in some of their investments. Ma... M Kim 被引量: 0发表: 0年 Research on the Grading Model of Financial Risk...
An empirical examination of the effectiveness of dollar-cost averaging using downside risk performance measures Some studies find the dollar-cost averaging investment strategy to be sub-optimal using a traditional Sharpe ratio performance ranking metric. Using both t... KB Leggio,D Lien - 《Journal ...
For example, suppose a risk manager calculates the average loss on an investment is $10 million for the worst 1% of possible outcomes for a portfolio. In that case, the CVaR or expectedshortfallis $10 million for this 1% of the investment’s distribution curve. The shortfall is unlikely—bu...
What Are Risk Measures? Risk measures are statistical measures that are historical predictors of investment risk andvolatility, and they are also major components inmodern portfolio theory(MPT). MPT is a standard financial and academic methodology for assessing the performance of a stock or a stock...
P Romer - 《Journal of Applied Corporate Finance》 被引量: 20发表: 1998年 The Stock Market and Investment in the New Economy: Some Tangible Facts and Intangible Fictions. Intangible Assets: Values, Measures and Risks. Oxford University Press, Oxford, p. 95-119.See S. R. Bond and J. G...
Based on the definition of hydropower investment risk and case studies,the risks of China's enterprises in hydropower investment in Southeast Asia are summarized from two aspects of the investment environment and enterprises.Some prevention and control measures for China 's enterprises to avoid ...
In the fundamental theorem of asset pricing, it is assumed that there are never opportunities forarbitrage, or an investment that continuously and reliably makes money with no upfront cost to the investor. Experience says this is a pretty good assumption for a model of actual financial markets,...
The findinghasafar-reachingimplicationtoinvestors,particularly,institutionalinvestors, which they should conscious with the advantages and disadvantages of these risk measures in order to determine the most apt risk measure in formulating desirable risk investment strategy. 展开 ...