The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...

Abstract To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In backtest of allocating investment market index risk-free asset, generate scenarios future according momentum-based process model. A new hybrid approach, strategy controlling dow...

FALL 2000 T he risk/return trade-off has been a central tenet of portfolio management since the seminal work of Markowitz [1952]. The basic premise, that higher (expected) returns can only be achieved at the expense of greater risk, leads naturally to the concept of an efficient frontier. The efficient frontier defines the maximum return that can be achieved for a given level of risk or, altern...

This paper presents a consumptiun-ba,setl model that explains Ihe equity premitim puzzle through two channels, Hirst, because of borrowing constraints, the sharehokler cannt)t completely diversify his income risk ami requires a sizable risk premium on .stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock reiurn an...

Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889-1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that Simultaneously rationali...

This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how sub...

When measured over decades in countries that have been relatively stable, returns from stocks have been substantially better than returns from bonds. This is often attributed to investors’ risk aversion: stocks are thought to be riskier than bonds, and so investors will pay less for an expected return from stocks than for the same expected return from bonds. The game-theoretic probability-free ...

Supply chain companies are one of the most important elements of the economy of each country. These companies play an important role in the expansion and activities of other companies through the provision of capital, customers, credit and even raw materials and technology. Therefore, the main goal of this research was to examine the impact of contagion of return and volatility in the return of...

The two-fund separation theorem tells us that an investor with quadratic utility can separate her asset allocation decision into two steps: First, find the tangency portfolio (TP), i.e., the portfolio of risky assets that maximizes the Sharpe ratio (SR); and then, decide on the mix of the TP and the risk-free asset, depending on the investor’s attitude toward risk. In this paper, we describe an...