Tail risk adjusted clean energy portfolios in P2P transactive markets using Rachev ratio

Tail Risk in Fixed-Income Markets∗

The importance of tail risk for asset pricing has been widely recognized in the literature, but its empirical investigations rest in equity markets mostly. We construct a model-free measure of tail risk for fixedincome markets using a proprietary dataset of swaptions, denoted as TAIL, which captures the price of insuring against extreme movements in interest rate swap rates. We show that TAIL c...

The tail risk of emerging stock markets

Article history: Received 7 August 2009 Received in revised form 10 September 2009 Accepted 10 September 2009 Available online 19 September 2009 We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and noninvestable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Emp...

Risk and Return in Momentum Strategies: Profitability from Portfolios based on Risk-Adjusted Stock Ranking Criteria

Asymmetry in tail dependence in equity portfolios

In this paper, we investigate the asymmetry in the tail dependence between US equity portfolios and the aggregate US market. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence often have poor finite-sample properties. We therefore develop a parametric model for measuring and testing asymmetry in tail dependence, usi...

Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with uncertain payo¤s? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean return on an economy-wide representative risky investment. Suppose, though, that the project constitutes a tail-hedged investment, meaning that it is expe...