Search Results

Downside risk and futures: comparison of several hedge strategies,
Frank Brouwer, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1995)
Keywords: Downside risk; Futures; Hedging

ESG shareholder engagement and downside risk,
Andreas G F Hoepner, Ioannis Oikonomou, Zacharias Sautner, Laura T Starks and Xiao Y Zhou, in Review of Finance (2024)
Keywords: ESG, shareholder engagement, downside risk

On the intensity of downside risk aversion,
David Crainich and Louis Eeckhoudt, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
Keywords: downside risk aversion, prudence, local and global properties

On the intensity of downside risk aversion,
David Crainich and Louis Eeckhoudt, in Journal of Risk and Uncertainty (2008)
Keywords: Downside risk aversion, Measure, Intensity, D81,

Downside risk-neutral probabilities,
Pierre Chaigneau and Louis Eeckhoudt, in Economic Theory Bulletin (2020)
Keywords: Downside risk, Prudence, Risk aversion, Risk-neutral probabilities, Risk substitution

Upside and Downside Risks in Momentum Returns,
Victoria Dobrynskaya, from National Research University Higher School of Economics (2015)
Keywords: momentum, downside risk, downside beta, upside risk, upside beta, Downside-Risk CAPM

Downside Risk in Emerging Markets,
Yigit Atilgan and K. Ozgur Demirtas, in Emerging Markets Finance and Trade (2013)
Keywords: downside risk, emerging markets, risk-return relationship, value at risk

Extreme Downside Liquidity Risk,
Stefan Ruenzi, Michael Ungeheuer and Florian Weigert, from University of St. Gallen, School of Finance (2015)
Keywords: Asset Pricing, Crash Aversion, Downside Risk, Liquidity Risk, Tail Risk

Conditional Downside Risk and the CAPM,
Thierry Post and Pim Vliet, from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2004)
Keywords: CAPM, Downside risk, asymmetry, conditional downside risk, lower partial moments, non-linear kernel, semi-variance

Rewards for downside risk in Asian markets,
Lakshman Alles and Louis Murray, in Journal of Banking & Finance (2013)
Keywords: Downside risk; Emerging markets; Risk exposure and returns;

Reversibly greater downside risk aversion,
Donald Keenan and Arthur Snow, in The Geneva Risk and Insurance Review (2022)
Keywords: Downside risk aversion, Risk aversion, Prudence

Governance mechanisms and downside risk,
Li-Hsun Wang, Chu-Hsiung Lin, Hung-Gay Fung and Hsien-Ming Chen, in Pacific-Basin Finance Journal (2015)
Keywords: Corporate governance; Downside risk; Value-at-risk (VaR); Expected shortfall;

Decreasing downside risk aversion and background risk,
David Crainich, Louis Eeckhoudt and Olivier Le Courtois, in Journal of Mathematical Economics (2014)
Keywords: Downside risk aversion; Background risk; Risk vulnerability;

Decreasing Downside Risk Aversion and Background Risk,
David Crainich, Louis Eeckhoudt and Olivier Le Courtois, from IESEG School of Management (2013)
Keywords: Downside Risk Aversion, Background Risk, Risk Vulnerability

Hedging with stock index futures: downside risk versus the variance,
M. van der Nat and F. Brouwer, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1995)
Keywords: downside risk; hedging; futures

The Use of Downside Risk Measures in Portfolio Construction and Evaluation,
Dr. Brian J. Jacobsen, from Society for Computational Economics (2005)
Keywords: downside risk, portfolios, performance measure

Downside risk and the cross-section of cryptocurrency returns,
Wei Zhang, Yi Li, Xiong Xiong and Pengfei Wang, in Journal of Banking & Finance (2021)
Keywords: Cryptocurrency; Downside risk; Return predictability;

Dynamic asset allocation and downside-risk aversion,
Arjan Berkelaar and Roy Kouwenberg, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000)
Keywords: downside-risk, optimal asset allocation

Cost of equity of Internet stocks: A downside risk approach, The,
Javier Estrada, from IESE Business School (2003)
Keywords: downside risk; semideviation; asset pricing;

Downside Risk Timing by Mutual Funds,
Andrei Simonov, Andriy Bodnaruk and Bekhan Chokaev, from C.E.P.R. Discussion Papers (2015)
Keywords: Downside risk; Mutual funds; Market timing

Cryptocurrency Trading and Downside Risk,
Farhat Iqbal, Mamoona Zahid and Dimitrios Koutmos, in Risks (2023)
Keywords: cryptocurrencies; downside risk; VaR models; weighted aggregative approach

Risk aversion, downside risk aversion, and the transition to entrepreneurship,
Claudio Bonilla and Marcos Vergara, in Theory and Decision (2021)
Keywords: Apportioning risk, Entrepreneurship, Downside risk aversion

Does Momentum Trading Generate Extra Downside Risk?,
Victoria Dobrynskaya, in Quarterly Journal of Finance (QJF) (2022)
Keywords: Momentum premium, momentum crashes, downside risk, downside beta, upside risk, upside beta, downside-risk CAPM

Downside risk neutral probabilities,
Pierre Chaigneau and Louis Eeckhoudt, from London School of Economics and Political Science, LSE Library (2016)
Keywords: downside risk; pricing kernel; prudence; risk aversion; risk neutral probabilities; risk substitution

Downside Variance Risk Premium,
Bruno Feunou, Mohammad Jahan-Parvar and Cedric Okou, from Board of Governors of the Federal Reserve System (U.S.) (2015)
Keywords: Downside variance risk premium; realized volatility; risk-neutral volatility; skewness risk premium; upside variance risk premium

Financial stability policy and downside risk in stock returns,
Jianlei Yang, in The North American Journal of Economics and Finance (2024)
Keywords: Financial stabilization policy; Downside risk; Downside realized semi-variance;

Downside Variance Risk Premium,
Bruno Feunou, Mohammad Jahan-Parvar and Cédric Okou, in Journal of Financial Econometrics (2018)
Keywords: downside and upside variance risk premium, realized volatility, risk-neutral volatility, skewness risk premium

Greater downside risk aversion in the large,
Donald Keenan and Arthur Snow, in Journal of Economic Theory (2009)
Keywords: Downside risk Risk aversion Arrow-Pratt Diamond-Stiglitz

ESG as protection against downside risk,
Roman Kräussl, Tobi Oladiran and Denitsa Stefanova, from Center for Financial Studies (CFS) (2023)
Keywords: ESG, rating, downside risk, options, regulation, risk premium

Asset Pricing with Downside Liquidity Risks,
Sean A. Anthonisz and Talis Putnins, from Finance Discipline Group, UTS Business School, University of Technology, Sydney (2017)
Keywords: liquidity risk; liquidity spiral; conditional moment; pricing kernel; downside risk

Do Mutual Funds Reward Downside Risk? Evidence from an Emerging Economy,
Pankaj K. Agarwal and H. K. Pradhan, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2023)
Keywords: Downside risk, value at risk, downside risk timing, mutual funds performance

Downside Risk Neutral Probabilities,
Pierre Chaigneau and Louis Eeckhoudt, from CIRPEE (2015)
Keywords: Asset pricing, downside risk, quadratic pricing kernel, linear pricing kernel, prudence, risk neutral probabilities.

Statistical Modelling of Downside Risk Spillovers,
Daniel Felix Ahelegbey, from University of Pavia, Department of Economics and Management (2020)
Keywords: Bayesian Inference, Centrality, Contagion, Conditional VaR, Downside Risk, Extreme downside hedge, Financial Crises, Financial Networks.

The convexity-cone approach to comparative risk and downside risk,
Salvatore Modica and Marco Scarsini, from ICER - International Centre for Economic Research (2003)
Keywords: Convexity cones; risk; downside risk; risk aversion; dual cones

Is systematic downside beta risk really priced? Evidence in emerging market data,
Don Galagedera and Robert D. Brooks, from Monash University, Department of Econometrics and Business Statistics (2005)
Keywords: Beta, Downside risk, Emerging markets

The impact of downside risk on UK stock returns,
Fangzhou Huang, in Review of Accounting and Finance (2019)
Keywords: Financial crisis, Stock returns, Downside risk

Downside Risk Protection of Retirement Assets: A New Approach,
Atanu Saha and Alex Rinaudo, in Journal of Financial Transformation (2017)
Keywords: Retirement Assets; Financial Planning; Downside Risk

Downside Risk analysis applied to the Hedge Funds universe,
Josep Perelló, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Econophysics; Hedge Funds; Downside Risk; CAPM;

Downside risks and the cross-section of asset returns,
Adam Farago and Roméo Tédongap, in Journal of Financial Economics (2018)
Keywords: Generalized disappointment aversion; Downside risks; Cross-section;

The cost of equity of internet stocks: a downside risk approach,
Javier Estrada, in The European Journal of Finance (2004)
Keywords: Internet, equity, risk, beta, downside, semideviation,

The Downside Risk of Heavy Tails induces Low Diversification,
Namwon Hyung and Casper de Vries, from Tinbergen Institute (2010)
Keywords: Portfolio diversification, downside risk, heavy tails

Measuring Downside Risk in Portfolios with Bitcoin,
Dejan Živkov, Slavica Manic, Jasmina Duraskovic and Dejan Viduka, in Czech Journal of Economics and Finance (Finance a uver) (2021)
Keywords: Bitcoin, parametric and semiparametric downside risk measures, DCC-GARCH

Multicriteria Portfolio Choice and Downside Risk,
Anna Rutkowska-Ziarko and Pawel Kliber, in JRFM (2023)
Keywords: portfolio analysis; fundamental value; multicriterial choice; market multiple; downside risk

Downside risk of international stock returns,
Victoria Galsband, in Journal of Banking & Finance (2012)
Keywords: Cash-flow news; Discount-rate news; Downside risk; Asset pricing;

Is downside risk priced in cryptocurrency market?,
Victoria Dobrynskaya, in International Review of Financial Analysis (2024)
Keywords: Cryptocurrencies; Cryptofinance; Alternative investments; Downside risk; DR-CAPM; Multifactor model;

Incentive Contracts and Downside Risk Sharing,
Bernard Sinclair-Desgagné and Sandrine Spaeter, from HAL (2018)
Keywords: Pay-performance relationship,Executive compensation,Downside risk aversion,Approximate concavity

Downside risk and the energy hedger's horizon,
Thomas Conlon and John Cotter, in Energy Economics (2013)
Keywords: Energy hedging; Futures hedging; Wavelet transform; Hedging horizon; Downside risk;

Greater parametric downside risk aversion,
Donald Keenan and Arthur Snow, in Journal of Mathematical Economics (2017)
Keywords: Downside risk aversion; Schwarzian; Cautiousness; Protective puts; Self-protection;

ESG Shareholder Engagement and Downside Risk,
Andreas G. F. Hoepner, Ioannis Oikonomou, Zacharias Sautner, Laura T. Starks and Xiaoyan Zhou, from Swiss Finance Institute (2023)
Keywords: ESG, Shareholder Activism, Downside Risk, Corporate Governance, Climate Change

Modeling and Forecasting Macroeconomic Downside Risk,
Davide Delle Monache, Andrea De Polis and Ivan Petrella, from C.E.P.R. Discussion Papers (2022)
Keywords: Business cycle; Downside risk; Skewness; Score driven models; Financial conditions

Downside risk and the energy hedger's horizon,
Thomas Conlon and John Cotter, from Geary Institute, University College Dublin (2012)
Keywords: Energy Hedging, Futures Hedging, Wavelet Transform, Hedging Horizon, Downside Risk

Incentive Contracts and Downside Risk Sharing,
Bernard Sinclair-Desgagné and Sandrine Spaeter, from Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg (2016)
Keywords: Pay-performance relationship; executive compensation; downside risk aversion; approximate concavity.

Modeling and forecasting macroeconomic downside risk,
Davide Delle Monache, Andrea De Polis and Ivan Petrella, from Bank of Italy, Economic Research and International Relations Area (2021)
Keywords: business cycle, financial conditions, downside risk, skewness, score driven models.

Is Downside Risk Priced In Cryptocurrency Market?,
Victoria Dobrynskaya, from National Research University Higher School of Economics (2020)
Keywords: cryptocurrency, coins, cryptofinance, alternative investments, downside risk, DR-CAPM

Downside Risk and Asset Pricing,
Thierry Post and Pim Vliet, from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2004)
Keywords: SSD, asset pricing, downside risk, lower partial moments, stock market efficiency

Downside risk, financial conditions and systemic risk in China,
Bo Wang and Haoran Li, in Pacific-Basin Finance Journal (2021)
Keywords: Downside risk; Financial conditions; Systemic risk; Quantile regression; BVAR;

Using downside risk in evaluating the performance of Malaysian mutual funds,
Mohammad Reza Tavakoli Baghdadabad and Masood Fooladi, in International Journal of Emerging Markets (2015)
Keywords: Downside β, Semi-variance, Mutual fund, Downside risk

Accounting downside risk measures and credit spreads,
Pervaiz Alam, Barry Hettler and Han Gao, in Review of Accounting and Finance (2021)
Keywords: Credit spreads, Cash flow downside risk, Credit default swap, Earnings downside risk

Reversibly greater downside risk aversion by a prudence-based measure,
Donald Keenan and Arthur Snow, in Economics Letters (2022)
Keywords: Prudence; Risk aversion; Downside risk aversion;

Using truncated Lévy flight to estimate downside risk,
James X. Xiong, in Journal of Risk Management in Financial Institutions (2010)
Keywords: truncated Lévy flight, downside risk, conditional value-at-risk, fat tail

Downside risk and flight to quality in the currency market,
Victoria Dobrynskaya, from International Network for Economic Research - INFER (2011)
Keywords: currency risk, downside beta, crash risk, carry trades

Measuring bank downside systemic risk in Taiwan,
EnDer Su and Kai Wen Wong, in The Quarterly Review of Economics and Finance (2018)
Keywords: Asymmetric downside risk adjustment; Bivariate quantile autoregression; Systemic risk; CoVaR;

The price of shelter - Downside risk reduction with precious metals,
Don Bredin, Thomas Conlon and Valerio Potì, in International Review of Financial Analysis (2017)
Keywords: Downside risk; Precious metals; Horizon; Safe haven; Value-at-risk;

Computing Mean/Downside Risk Frontiers: The Role of Ellipticity,
Antony D. Hall and Steve E. Satchell, from Springer (2008)
Keywords: Risk Measure, Portfolio Return, Downside Risk, Short Selling, Portfolio Weight

Downside risk and the size of credit spreads,
Gordon Gemmill and Aneel Keswani, in Journal of Banking & Finance (2011)
Keywords: Bond Idiosyncratic risk Downside risk Credit spread puzzle Pricing kernel Liquidity Sub-prime crisis

Global downside risk and equity returns,
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin, in Journal of International Money and Finance (2019)
Keywords: Downside risk; Tail risk; Left-tail momentum; Equity returns; International finance;

Extreme downside risk and financial crises,
Richard Harris, Linh H Nguyen and Evarist Stoja, from Bank of England (2015)
Keywords: Downside risk; Markov switching; financial crisis; value at risk; leverage effect; volatility feedback effect.

Decreasing absolute risk aversion, prudence and increased downside risk aversion,
Liqun Liu and Jack Meyer, in Journal of Risk and Uncertainty (2012)
Keywords: DARA, Downside risk, Downside risk aversion, Decreasing absolute risk aversion, Prudence, D81,

A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods,
Soumya Guha Deb, in Journal of Emerging Market Finance (2019)
Keywords: VaR; mutual funds; downside risk

THE COST OF EQUITY OF PORTUGUESE PUBLIC FIRMS: A DOWNSIDE RISK APPROACH,
Ricardo Pereira, in Portuguese Journal of Management Studies (2007)
Keywords: Asymmetric Returns; Cost of Equity; Downside Risk Models.

Foreign direct investment and downside risk: Evidence from Taiwan,
Li-Hsun Wang, Chu-Hsiung Lin, Hung-Gay Fung and Tzu-Chuan Kao, in Pacific-Basin Finance Journal (2019)
Keywords: Downside Risk; FDI; Agency cost; Earnings Management;

Gold and exchange rates: Downside risk and hedging at different investment horizons,
Juan Reboredo and Miguel A. Rivera-Castro, in International Review of Economics & Finance (2014)
Keywords: Gold; Exchange rates; Hedging; Downside risk; Wavelets;

The relevance of emerging markets in portfolio diversification: Analysis in a downside risk framework,
S S S Kumar, in Journal of Asset Management (2012)
Keywords: downside risk, portfolio diversification, emerging markets

A Measure of Downside Risk in Multivariate Setup with Application in Measuring Financial Stress,
Sneharthi Gayen, in Sankhya B: The Indian Journal of Statistics (2016)
Keywords: Financial stress, downside risk, multivariate distance, semivariance.

The investigation on the impact of downside risk on financial distress,
Rusmawati Binti Ismail, Rohani Bt. Md-Rus and Kamarun Nisham Taufil Mohd, in International Journal of Business Continuity and Risk Management (2022)
Keywords: Bursa Malaysia; downside risk; financial distress; logistic regression; leverage; profitability.

Macroeconomic downside risk and the effect of monetary policy,
Chuang Deng and Jian Wu, in Finance Research Letters (2023)
Keywords: Macroeconomic downside risk; Monetary policy; SV-TVP-VAR model;

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect,
Francesco Audrino and Yujia Hu, in Econometrics (2016)
Keywords: high frequency data; realized volatility forecasting; downside risk; leverage effect

Downside jump risk and the levels of futures-cash basis,
Chin-Ho Chen, in Pacific-Basin Finance Journal (2019)
Keywords: Downside jump risk; Futures basis; Implied volatility smirk;

Robust portfolio selection under downside risk measures,
Shushang Zhu, Duan Li and Shouyang Wang, in Quantitative Finance (2009)
Keywords: Portfolio selection, Downside risk, Lower-partial moment, Robust optimization,

Financial Conditions and Downside Risk to Economic Activity in Australia,
Luke Hartigan and Michelle Wright, from Reserve Bank of Australia (2021)
Keywords: downside risk; dynamic factor model; financial conditions; quantile regression

Comparing downside risk measures for heavy tailed distribution,
Jon Danielsson, Bjørn Jørgensen, Mandira Sarma and Casper de Vries, from London School of Economics and Political Science, LSE Library (2005)
Keywords: downside risk measures; heavy tailed distribution; regular variation

Downside risks in EU carbon and fossil fuel markets,
Juan Reboredo and Mikel Ugando, in Mathematics and Computers in Simulation (MATCOM) (2015)
Keywords: Emission allowances; Fossil fuel prices; EGARCH, EVT; Downside risk;

Revisiting the home bias puzzle: Downside equity risk,
Rachel A. Campbell and Roman Kräussl, from Center for Financial Studies (CFS) (2006)
Keywords: Asset Pricing, Home Bias, Downside Risk, Prospect Theory

Downside risk in multiperiod tracking error models,
Diana Barro and Elio Canestrelli, in Central European Journal of Operations Research (2014)
Keywords: Tracking error, Downside risk, Dynamic portfolio , Stochastic programming, 91C26, 90C10,

Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios,
Patrick Leoni, from Department of Economics, National University of Ireland - Maynooth (2007)
Keywords: : Derivatives; Portfolio management; Benchmarking; Downside risk; Monte-Carlo simulations.

A Data-Driven Optimization Heuristic for Downside Risk Minimization,
Manfred Gilli, Evis Këllezi and Hilda Hysi, from Swiss Finance Institute (2006)
Keywords: Portfolio optimization, Heuristic optimization, Threshold accepting, Downside risk

Financial conditions and macroeconomic downside risks in the euro area,
Stéphane Lhuissier, in European Economic Review (2022)
Keywords: Financial conditions; Downside risks; Predictability; Regime-switching models;

Realized semibetas: Disentangling “good” and “bad” downside risks,
Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg, in Journal of Financial Economics (2022)
Keywords: Cross-sectional return variation; Downside risk; Semicovariances; Semibetas;

Increased Correlation in Bear markets: A Downside Risk Perspective,
Paul Kofman, Kees Koedijk and Rachel Campbell, from C.E.P.R. Discussion Papers (2002)
Keywords: International equity markets; Correlation; Extreme returns; Downside risk

Downside risk in multiperiod tracking error models,
Diana Barro and Elio Canestrelli, from Department of Economics, University of Venice "Ca' Foscari" (2012)
Keywords: Tracking error, Downside risk, Dynamic portfolio, Stochastic programming