portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

This paper develops a new semi-parametric estimation method based on an extended ICAPM dynamic model incorporating jump tails. Themodel allows for time-varying, asymmetric jumpsizedistributions and a self-exciting jump intensity process while avoiding commonly used but restrictive affine assumptions on the relationship between jump intensity andvolatility. The estimatedmodel implies that the av...

• We estimate long- and short-run factor betas of the market, SMB, HML. Short-run have small dispersion in expansions large recessions. The risk premium market beta is positive. premia are significant outside propose a new model that estimates components variances covariances. advantage our to existing DCC-based models it uses same form for both covariances these moments simultaneously. apply t...

The Theory of Capital Asset Pricing Model (CAPM) states that market risk (beta) can generate premium for investors. So investors only need to invest in a portfolio or based on capitalization weighting. Smart Beta is an index-based investment strategy seeks obtain superior risk-adjusted returns through transparent techniques and rules-based criteria specific factors attributes returns. Combining...

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk aversion. But if so, should these agents not perceive larger gains from international diversification than standard ex...

We derive asset-pricing and portfolio-choice implications of a dynamic incomplete-markets model in which consumers are heterogeneous in several respects: labor income, asset wealth, and preferences. In contrast to earlier papers, we insist on at least roughly matching the model’s implications for heterogeneity—notably, the equilibrium distributions of income and wealth—with those in U.S. data. ...

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently steered the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with investors acquiring a structured claim on the interest proceeds generated from a portfolio of bank loans ...

The Capital Asset Pricing Model (CAPM) has been the dominating capital market equilibrium model since its inception and continues to be widely used in practical portfolio management and in academic research. Its central implication is that the contribution of an asset to the variance of the market is the correct measure of the asset’s risk and the only systematic determinant of the asset’s retu...

We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund’s absolute and relative performance. Investors choose whether or not to delegate their investment to better-informed fund managers; if they delegate they choose the optimal contract subject to the fund manager’s participation constraint. We find that the impact of ...

copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management. one application of copula functions in risk management is calculating value at risk that can assert is the most widely used risk measures in financial institutions. in this article which primary goal is estimating more acc...