Littérature scientifique sur le sujet « International finance. Tail risk. Asset pricing »
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Articles de revues sur le sujet "International finance. Tail risk. Asset pricing"
Schreindorfer, David. « Macroeconomic Tail Risks and Asset Prices ». Review of Financial Studies 33, no 8 (19 septembre 2019) : 3541–82. http://dx.doi.org/10.1093/rfs/hhz105.
Texte intégralde Santis, Giorgio, et Bruno Gerard. « International Asset Pricing and Portfolio Diversification with Time-Varying Risk ». Journal of Finance 52, no 5 (décembre 1997) : 1881. http://dx.doi.org/10.2307/2329468.
Texte intégralAntell, Jan, et Mika Vaihekoski. « International asset pricing models and currency risk : Evidence from Finland 1970–2004 ». Journal of Banking & ; Finance 31, no 9 (septembre 2007) : 2571–90. http://dx.doi.org/10.1016/j.jbankfin.2006.09.013.
Texte intégralValencia-Herrera, Humberto, et Francisco López-Herrera. « Markov Switching International Capital Asset Pricing Model, an Emerging Market Case : Mexico ». Journal of Emerging Market Finance 17, no 1 (26 février 2018) : 96–129. http://dx.doi.org/10.1177/0972652717748089.
Texte intégralOtt, Steven H., Timothy J. Riddiough, Ha-Chin Yi et Jiro Yoshida. « International Real Estate Review ». International Real Estate Review 11, no 1 (30 juin 2008) : 1–37. http://dx.doi.org/10.53383/100088.
Texte intégralWong, Wong Weng, et Wejendra Reddy. « International Real Estate Review ». International Real Estate Review 21, no 1 (31 mars 2018) : 41–70. http://dx.doi.org/10.53383/100254.
Texte intégralLi, Kai. « Confidence in the Familiar : An International Perspective ». Journal of Financial and Quantitative Analysis 39, no 1 (mars 2004) : 47–68. http://dx.doi.org/10.1017/s0022109000003884.
Texte intégralHazny, Mohamad Hafiz, Haslifah Mohamad Hasim et Aida Yuzy Yusof. « Mathematical modelling of a shariah-compliant capital asset pricing model ». Journal of Islamic Accounting and Business Research 11, no 1 (6 janvier 2020) : 90–109. http://dx.doi.org/10.1108/jiabr-07-2016-0083.
Texte intégralBayraktar, Sema. « The impact of exchange rate risk on international asset pricing under various market structures ». Review of Quantitative Finance and Accounting 32, no 2 (1 avril 2008) : 169–95. http://dx.doi.org/10.1007/s11156-008-0089-4.
Texte intégralOkunev, John, et Patrick J. Wilson. « International Real Estate Review ». International Real Estate Review 11, no 2 (31 décembre 2008) : 32–46. http://dx.doi.org/10.53383/100096.
Texte intégralThèses sur le sujet "International finance. Tail risk. Asset pricing"
Lee, Kuan-Hui. « Liquidity risk and asset pricing ». Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.
Texte intégralGeraci, Marco Valerio. « Essays on Complexity in the Financial System ». Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/257470.
Texte intégralDoctorat en Sciences économiques et de gestion
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Limkriangkrai, Manapon. « An empirical investigation of asset-pricing models in Australia ». University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
Texte intégralNoumon, Codjo Nérée Gildas Maxime. « Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes ». Thèse, 2013. http://hdl.handle.net/1866/10560.
Texte intégralThis thesis consists of three chapters on the topics of portfolio choice in a high-dimensional context, and risk measurement. The first chapter addresses the estimation error issue that arises when constructing large portfolios in the mean-variance framework. The second chapter investigates the relevance of currency risk for optimal domestic portfolios, evaluates their ability of to diversify away currency risk, and study the links between portfolio weights stability and currency risk. Finally, under the assumption that decision makers are pessimistic, the third chapter derives the risk premium, propose a measure of the degree of pessimism, and provide a statistical framework for their estimation. The first chapter improves the performance of the optimal portfolio weig-hts obtained under the mean-variance framework of Markowitz (1952). Indeed, these weights give unsatisfactory results, when the mean and variance are replaced by their sample counterparts (plug-in rules). This problem is amplified when the number of assets is large and the sample covariance is singular or nearly singular. The chapter investigates four regularization techniques to stabilizing the inverse of the covariance matrix: the ridge, spectral cut-off, Landweber-Fridman, and LARS Lasso. These four methods involve a tuning parameter that needs to be selected. The main contribution is to derive a data-based method for selecting the tuning parameter in an optimal way, i.e. in order to minimize the expected loss in utility of a mean-variance investor. The cross-validation type criterion derived is found to take a similar form for the four regularization methods. The resulting regularized rules are compared to the sample-based mean-variance portfolio and the naive 1/N strategy in terms of in-sample and out-of-sample Sharpe ratio and expected loss in utility. The main finding is that regularization to covariance matrix significantly improves the performance of the mean-variance problem and outperforms the naive portfolio, especially in ill-posed cases, as suggested by our simulations and empirical studies. In the second chapter, we investigate the extent to which optimal and stable portfolios of domestic assets can reduce or eliminate currency risk. This is done using monthly returns on 48 U.S. industries, from 1976 to 2008. To tackle the instabilities inherent to large portfolios, we use the spectral cut-off regularization described in Chapter 1. This gives rise to a family of stable global minimum portfolios that allows investors to select different percentages of principal components for portfolio construction. Our empirical tests are based on a conditional International Asset Pricing Model (IAPM), augmented with the size and book-to-market factors of Fama and French (1993). Using two trade-weighted currency indices of industrialized countries currencies and emerging markets currencies, we find that currency risk is priced and time-varying for global minimum portfolios. These strategies also lead to a significant reduction in the exposure to currency risk, while keeping the average premium contribution to total premium approximately the same. The global minimum weights considered are an alternative to market capitalization weights used in the U.S. market index. Therefore, our findings complement the well established results that currency risk is significantly priced and economically meaningful at the industry and country level in most countries. Finally, the third chapter derives a measure of the risk premium for rank-dependent preferences and proposes a measure of the degree of pessimism, given a distortion function. The introduced measures generalize the common risk measures derived in the expected utility theory framework, which is frequently violated in both experimental and real-life situations. These measures are derived in the neighborhood of a given random loss variable, using the notion of local utility function. A particular interest is devoted to the CVaR, which is now widely used for asset allocation and has been advocated to complement the Value-at-risk (VaR) proposed since 1996 by the Basel Committee on Banking Supervision. We provide the statistical framework needed to conduct inference on the derived measures. Finally, the proposed estimators
Chapitres de livres sur le sujet "International finance. Tail risk. Asset pricing"
Dobrynskaya, Victoria, et Mikhail Dubrovskiy. « Cryptocurrencies Meet Equities : Risk Factors and Asset-pricing Relationships ». Dans International Finance Review, 95–111. Emerald Publishing Limited, 2023. http://dx.doi.org/10.1108/s1569-376720220000022006.
Texte intégralActes de conférences sur le sujet "International finance. Tail risk. Asset pricing"
Hasan, Md Zobaer, Anton Abdulbasah Kamil, Adli Mustafa et Md Azizul Baten. « Risk-Return Association of Dhaka Stock Exchange Market : A Capital Asset Pricing Model Framework ». Dans Annual International Conferences on Accounting and Finance. Global Science & Technology Forum (GSTF), 2012. http://dx.doi.org/10.5176/2251-1997_af08.
Texte intégralOtuteye, Eben, et Mohammad Siddiquee. « Redefining Risk from a Value Investing Perspective : Propositions to Motivate a Re-Examination of Standard Portfolio Theory and Asset Pricing Models ». Dans 4th Annual International Conference on Accounting and Finance (AF 2014). Global Science & Technology Forum (GSTF), 2014. http://dx.doi.org/10.5176/2251-1997_af14.36.
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