Managing downside risk of low-risk anomaly portfolios
H Kim, S Kim - Finance Research Letters, 2022 - Elsevier
In this paper, we present a novel risk-scaling strategy based on a measure of downside risk
and investigate its performance on underlying portfolios that are formed on low-risk …
and investigate its performance on underlying portfolios that are formed on low-risk …
Identifying the fair value of Sharpe ratio by an option valuation approach
JR Lu, XY Li - The Quarterly Review of Economics and Finance, 2021 - Elsevier
This study aims to identify a theoretical fair value of the Sharpe ratio. For this purpose, we
propose a formula with a closed-form solution to estimate a fair, expected, or ex ante value …
propose a formula with a closed-form solution to estimate a fair, expected, or ex ante value …
Tail Risk-Managed Portfolios
G De Nicolo - Available at SSRN 4320434, 2023 - papers.ssrn.com
Abstract This paper constructs Tail Risk-Managed (TRM) portfolios in real time, where the
scaling of exposures to factors is determined by forecasts of probabilities of VaR violations …
scaling of exposures to factors is determined by forecasts of probabilities of VaR violations …
Tail Risk Hedging: The search for cheap options
We find that a simple heuristic of sorting liquid equity options by dollar price to construct a
portfolio of cheap put options leads to a surprisingly robust tail risk hedge-the superior …
portfolio of cheap put options leads to a surprisingly robust tail risk hedge-the superior …
[PDF][PDF] Управление на инвестиционни портфейли от реални активи
В МАРКОВСКА - researchgate.net
С усъвършенстването на финансовите пазари и средствата за осъществяване на
парични транзакции се разширява значително и спектъра на възможните …
парични транзакции се разширява значително и спектъра на възможните …