Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside ris...
We study the sensitivity of stock returns to the tail risk of major equity market indices, including the G10 countries. We model the sensitivity relationship via extreme downside hedging and estimate the parameters via a Bayesian graph structural lea...
This study examines the relationship between sustainability managed against downside risk and the cost of equity in the Korean stock market during the 2000–2016 period. We employ downside co-skewness and downside beta as a measure of downside r...
Predicting future promotion information on markdowns, customers can maximize their utilities by deciding when to buy. With this strategic behavior, this paper investigates a downside-risk-averse retailer’s integrated stock and pricing problem u...
This paper aims to assess the return and downside risk of a decumulation portfolio established at the retirement age of a senior, with a determined lifetime horizon differentiated by the sex of the citizen. To measure the portfolio’s return and...
FinTech stocks are an important new asset class that reflects the rapidly growing FinTech sector. This paper studies the practical implications of using gold, silver, and basket-of-precious-metals (gold, silver, platinum, palladium) ETFs to diversify...
The expectile-based Value at Risk (EVaR) has gained popularity as it is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). This paper applies the expectile regression approach to evaluate the EVaR of st...
Corporate governance has been marked as an important component of the fast-growing pace of the Vietnam economy recently. Aligning with the concern that gender plays a critical role in corporate management, this study aims to reveal the entire benefit...
The importance of downside risk cannot be denied. In this study, we have replaced beta in the five-factor model of using downside beta and have added a momentum factor to suggest a new six-factor downside beta capital asset pricing model (CAPM). Two...
Realized downward semi-variance (RDS) has been realized as a key indicator to measure the downside risk of asset prices, and the accurate prediction of RDS can effectively guide traders’ investment behavior and avoid the impact of market fluctu...
(1) Background: The economic impact of supply and demand in the energy industry can be seen throughout raw material production, processing and distribution. The purpose of this study is to provide academic information to prepare for crisis management...
In this study, we investigated some extensions of the classical portfolio theory and try to evaluate them in a situation of crisis. We studied some additional criteria for portfolio selection, based on market multiples representing the overall situat...
Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors’ downside risk. These...
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the...
Water resource allocation aimed at sustainable watershed development suffers from prominent challenges such as water pollution and scarcity, especially in water-deprived regions. Based on analysis of water quality, use, and sectoral demands during th...
This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indica...
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of...
The study examines the return performance and resilience to market volatility of the recently introduced environment, social/sustainable, and governance (ESG) weight-tilted Hang Seng index compared to its parent, the Hang Seng index. The ESG-infused...
In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period. Consequently, this study tests four models f...
This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditi...
The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta co...
This paper selects firm downside risk and firm upside risk as proxy variables of enterprise risk, and the proportion of independent directors as a proxy variable of board governance. Using the panel data of Chinese listed companies from 2010 to 2019,...
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...
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expect...
Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths an...
Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and poli...
This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period a...
The importance of Environmental, Social, and Governance (ESG) aspects in investment decisions has grown significantly in today’s volatile financial market. This study aims to answer the important question of whether investing in ESG-compliant c...
This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative nth-degree risk ave...
Sustainable watershed development suffers from severe challenges, such as water pollution and water scarcity. Based on an analysis of water quality and water utilization in the Fenhe River Basin, an inexact two-stage stochastic programming model with...
This paper presents a robust multi-period portfolio optimization framework that integrates interval analysis, entropy-based diversification, and downside risk control. In contrast to classical models relying on precise probabilistic assumptions, our...
Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs)...
This paper introduces a novel multi-objective optimization framework for sustainable portfolio rebalancing under uncertainty. The model simultaneously targets return maximization, downside risk control, and liquidity preservation, addressing the comp...
This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data fro...
The peer-to-peer (P2P) strategy as a new trading scheme has recently gained attention in local electricity markets. This is a practical framework to enhance the flexibility and reliability of energy hubs, specifically for industrial prosumers dealing...
We propose a multi-objective approach for portfolio selection, which allows investors to consider not only return and downside risk criteria but also to include environmental, social and governance (ESG) scores in the investment decision-making proce...
Nowadays, the call for sustainable development is becoming stronger in all countries of the world, and environmental, social, and governance (ESG) performance, as a vivid practice of this concept, has gradually received extensive attention from enter...
Conservation agriculture (CA) involving zero tillage, crop diversification, and residue retention is considered a panacea for several interrelated problems in agricultural production. However, in the mixed crop-livestock production systems of the dry...
This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean–variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-taile...
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that exa...
The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements as additional constraints in Markowitz model. We apply the methodology to the observed time series of the 10 largest crypto ass...
This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to de...
This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations...
In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside a...
This paper assessed the impact of soil and water conservation practices on farm productivity and risk exposure using data from 1204 plots in the semiarid tropics of India. A probit model was used to assess the determinants of adoption of soil bunds....
This study investigates the structure of the tail dependence between the United States (US) and Gulf Cooperation Council (GCC) banking sectors for the period February 2010 to July 2017. Conditional value at risk and conditional diversification benefi...
Exploring the risk spillover between Chinese and mature stock markets is a promising topic. In this study, we propose a Markov-switching mixed-Clayton (Ms-M-Clayton) copula model that combines a state transition mechanism with a weighted mixed-Clayto...
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market. Management fees andguarantee insurance fees are c...
This paper examines green bonds (GB), which have received much attention for providing funding for clean energy (CE) market reforms. We investigate the extreme spillover effects between GB and CE markets by using both MVMQ-CAViaR and Granger causalit...
The strategy of relying solely on current SARS-CoV-2 vaccines to halt SARS-CoV-2 transmission has proven infeasible. In response, many public-health authorities have advocated for using vaccines to limit mortality while permitting unchecked SARS-CoV-...
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