Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic riskbeta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only may be biased. This study addresses this issue by including downside co-skewness risk in addition to the...

In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the e¤ect of uncertainty on the marginal propensity to consume out of wealth, and the Drèze-Modigliani substitution e¤ect in this multivaria...

in order to use an islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation,that leads to presenting an upside potential- adjusted risk measure. this risk measure named upside potential adjusted risk measure (alpm) is generally applicable and provides assumptions of variance, downsid...

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms over the 1988-2009 time period. Previous research indicates that returns are not normally distributed and that investors seem to care more about downside risk than total risk. Motivated by these findings and mixed empirical evidence supporting theoretical positive risk-return r...

The proper identification of the risk variables that explain the cross section of returns in emerging markets has many and far-reaching implications for both companies and investors. We examine this risk -return relationship by focusing on three families of models, over 25 years of data, and over 1,600 companies in 30 countries. We perform a statistical analysis that seeks to identify the var i...

This paper characterizes downside risk aversion in a simple and intuitive manner. The characterization highlights certain features of downside risk aversion that are common with traditional risk aversion in regards the comparative statics of risk-free wealth. Also, using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion a...

Derivatives trading, and the trading of options in particular, raises special challenges both for market participants and for supervisory agencies. In contrast to traditional financial instruments, which typically involve outright sales or purchases of assets, options are unique in that they confer the right, but not the obligation, to buy or sell some underlying asset at a pre-agreed price in ...

In the financial world, the only thing, which is certain, is uncertainty. While it is possible to make long term statements about likely range and direction of variables like equities and interest rates, no-one without insider information can make a definite prediction about whether a market rate will go up or down on any particular day. This lack of certainty has led to a prudent approach of d...