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 ...
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...
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 fund as compared to it...
dent,” investment instrument has been specified, as the minimum extra capital (Section 2.3), which, invested in the reference instrument, makes the future value of the modified position become acceptable. (3) We state axioms on measures of risk and relate them to the axioms on acceptanc...
Huang: China is a strategic market for Fidelity. As a private company, we began strategizing for the Chinese market early, with the goal of helping investors achieve long-term financial goals while committing to sustainable investment in China. We opened offices in Shanghai in 2004, Beijing in ...
counterparties and decisions to be made calls for definite and possibly automated decision criteria and for ex post evaluation procedures concerning the rationality of the allocation of the limited capital available for the best investment alternatives on the basis of their expected (perceived) risk and...
AN ANALYSIS OF ALTERNATIVE MEASURES OF INVESTMENT RISK No abstract is available for this item. SGE Pinches - 《Journal of Finance》 被引量: 55发表: 1975年 Influence of patient caregivers on course of patient illness: "Expressed emotion" and alternative measures The influence of the quality of ...
A stochastic process X=(Xt)t∈[0,T] serves to the scope, for each scenario resulting from trading over the investment horizon [0, T], where T∈(0,∞). Its realizations can be interpreted as possible (discounted) profit and loss realizations of a given financial position over the ...
Introduction Why do we need downside risk measures like the semivariance and the lower partial moment in investment analysis? Very simply, we need these measures to cope with the complexity (and the reality) of the financial markets. The simple reason given in many articles on downside risk mea...
Dynamic leverage depends on the level of fund volatility, time horizon and distance in terms of NAV to a pre-defined critical liquidation level for a fund. Thus dynamic leverage incorporates the minimal holding time of investment and the risk associated with it. This reflects the fact that ...