Relation Between Total Risk and Return: Analaysis Under a New Paradigm - Proceedings AFIR 1994 - Orlando, United States
نویسنده
چکیده
Risk and return do not have the clearcut negative relationship that we assume in our textbook treatment. Industry level studies in different countries have shown that risk and return are positively related above industry median (rate of return) but negatively related below industry median (rate of return). These findings contradict any model along the line of capital asset pricing model. It also is inconsistent with arbitrage pricing model. However, these observations are consistent with the Prospect Theory. I view this phenomenon in the context of anomalies in finance. I explore practical implications in terms of investment strategies.
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Fuzzy Techniques of Pattern Recognition in Risk and Claim Classification - Proceedings AFIR 1994 - Orlando, United States
Applications of fuzzy set theory (FST) to property casualty and life insurance have emerged in the last few years through the work of Lemaire (1990), Cummins and Derrig (1991, 1993) and Ostaszewski (1993). This paper continues that line of research by providing an overview of fuzzy pattern recognition techniques. We utilize them in clustering for risk and claim classification. The classic clust...
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