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Vitalii Yesin, Mikolaj Karpinski, Maryna Yesina, Vladyslav Vilihura, Ruslan Kozak and Ruslan Shevchuk
The growing popularity of data outsourcing to third-party cloud servers has a downside, related to the serious concerns of data owners about their security due to possible leakage. The desire to reduce the risk of loss of data confidentiality has become ...
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Mirza Sikalo, Almira Arnaut-Berilo and Azra Zaimovic
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz?...
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Daniel Lichte, Frank Sill Torres and Evelin Engler
Progressing digitalization and networking of systems and organizations representing Critical Infrastructures opens promising new potentials and opportunities, which on the downside, are accompanied by rising complexity and increasingly opaque interdepend...
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Owen Jakata,Delson Chikobvu
AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main...
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Rodrigo T.N. Cardoso,Bruno Cândido Barroso,Mariana dos Santos de Oliveira,Felipe Dias Paiva
Pág. 26 - 46
Portfolio selection has been the subject of extensive studies in order to obtain increased returns, minimizing the investment risk. However, the most appropriate risk measure to be considered is still an open problem. The aim of this work is to study dif...
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Nicola Metzger and Vijay Shenai
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance ...
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Thomas C. Chiang and Yuanqing Zhang
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sect...
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Sabastine Mushori,Delson Chikobvu
Pág. 256 - 264
A dynamic stochastic methodology in optimal portfolio selection that maximizes investment opportunities and minimizes maximum downside risk while taking into account implicit transaction costs incurred in initial trading and in subsequent rebalancing of ...
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Onder Buberkoku
Pág. 36 - 50
This study examines the out-of-sample value-at-risk forecasting performance of the GARCH, FIGARCH, HYGARCH and FIAPARCH models for West Texas intermediate crude oil, Europe Brent crude oil, heating oil#2, propane and New York Harbour Conventional Gasolin...
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Xiaoyan Wu,Vasco Salazar Soares,Luís Dias Pacheco,Fernando Oliveira Tavares
Pág. 403 - 433
Mutual funds performance evaluation measures allow to establish rankings and play an essential role for investors who want to make investment decisions. The choice of suitable measure should take into account the risk preference of investors. This paper ...
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