✦ LIBER ✦

Traditional beta, downside risk beta and market risk premiums

✍ Scribed by Guy Kaplanski

Book ID: 113871465
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 255 KB
Volume: 44
Category: Article
ISSN: 1062-9769
DOI: 10.1016/j.qref.2004.05.008

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Is co-skewness a better measure of risk

Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data

✍ Don U.A. Galagedera; Robert D. Brooks 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 194 KB

Risk premium and market power in credit

Risk premium and market power in credit markets

✍ Alfredo Martín Oliver; Vicente Salas Fumás; Jesús Saurina 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 110 KB

FINANCIAL MARKET DEREGULATION AND BANK R

FINANCIAL MARKET DEREGULATION AND BANK RISK: TESTING FOR BETA INSTABILITY*

✍ ROBERT D. BROOKS; ROBERT W. FAFF 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 877 KB

On commodity market risk premiums: Addit

On commodity market risk premiums: Additional evidence

✍ Jennefer Baxter; Thomas E. Conine Jr.; Maurry Tamarkin 📂 Article 📅 1985 🏛 John Wiley and Sons 🌐 English ⚖ 310 KB

Risk factor beta conditional value-at-ri

Risk factor beta conditional value-at-risk

✍ Andrei Semenov 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 101 KB

## Abstract We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return

Emerging markets, downside risk and the

Emerging markets, downside risk and the asset allocation decision

✍ Simon Stevenson 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 110 KB