We study portfolio allocation and characterize contracts issued by firms in the international financial market when investors exhibit ambiguity aversion and perceive ambiguity in assets issued in foreign locations. Increases in the variance of their risky production process cause firms to issue assets with a higher variable payment (equity). Hikes in investors’ perceived ambiguity have the oppo...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

One of the most dynamic trends in development modern market financial investments is ESG investing. Investing which based on inclusion Environmental, Social and Governance criteria into consideration. In this case, there an actual problem analysis mapping with investment risk management. This article considers specific features assessments For purpose, S&P Global system scores was used. The...

The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. The authors characterize this lower bound for any admissible SDF that prices correctly both primitive asset returns and quadratic payoffs of the same primitive ...

Abstract The distribution of long-run compound returns to portfolio strategies is greatly affected by periodic rebalancing. Over time, buy-and-hold portfolios gradually lose diversification as extreme skewness in individual stock leads increasingly concentrated holdings. For long investment horizons, small rebalanced holding only a fraction all stocks therefore achieve better than much larger m...

This paper first extends some well-known univariate stochastic dominance results to multivariate stochastic dominances (MSD) for both risk averters and risk seekers, respectively, to n order for any n ≥ 1 when the attributes are assumed to be independent and the utility is assumed to be additively and separable. Under these assumptions, we develop some properties for MSD for both risk averters ...

Abstract In this study, we explore the role of individual exposure to negative life events on disposition effect (DE) – i.e., tendency traders in financial markets sell assets at gain faster than those a loss. We hypothesize that may influence through different behavioral mechanisms, namely trading volume reduction, better information processing, and emotions. three studies, combine quasi-natur...

We study the dynamic decision making of a financial institution in the presence of a novel implementation friction that gives rise to operational risk. We distinguish between internal and external operational risks depending on whether the institution has control over them. Internal operational risk naturally arises in the context of model risk, as the institution exposes itself to operational ...

This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable in ation risk. Utility is de ned over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable risk. A nominally unbiased forward market usually implies a non-zero real risk premium and hence some risk ...

The Journal of Economic Literature codes classification system (JEL) published by the American Association (AEA) is de facto standard for research literature in economics. JEL used to classify articles, dissertations, books, book reviews, and working papers EconLit, a database maintained AEA. Over time, it has evolved extended with over 850 subclasses. This paper reviews history development sys...