Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...

We investigate the risk–return trade-off on US and European stock markets. non-linear with a special eye to tails of returns using quantile regressions. first consider market portfolio. find that is significantly positive at upper tail (0.9 quantile), where large excess returns. The as expected from asset pricing models. For lower (0.1 for negative returns, negative. Additionally, median (0.5 i...

We investigate the risk-return trade-off on US and European stock markets. non-linear with a special eye to tails of returns using quantile regressions. first consider market portfolio. find that is significantly positive at upper tail (0.9 quantile), where large excess returns. The as expected from asset pricing models. For lower (0.1 for negative returns, negative. And median (0.5 insignifica...

ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...

in this paper we analyze the relationship between creditrisk & profitability in iranian banks. the credit risk is measured bynon-performing loans ratio &loan; loss provision ratio. also, theprofitability has been measured by return on assets &return; on equity.the survey data are from fifteen iranian banks& credit institutesduring the time period of 2003 to 2009.results show that there is asign...