This paper investigates whether risk-related disclosure, which includes aggregate risk disclosure and its tone, including upside downside disclosures, is value relevant for investors in the UK market. Based on 1941 firm-year observations nonfinancial firms listed FTSE All-Share, we employ fixed-effect estimations find that relevance of information not statistically observable unless a distincti...

Past performance is no guarantee of future results. Potential for profi t is accompanied by possibility of loss. Commodities trading involves substantial risk of loss. Introduction First Quadrant has been using a “risk parity” approach for some time as a component of our Essential Beta strategy. The methodology used to balance risk has been previously described in several articles. However, we ...

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate spot in the upside profit...

In new product design, risk averse firms must consider downside risk in addition to expected profitability, since some designs are associated with greater market uncertainty than others. We propose an approach to robust optimal product design for profit maximization by introducing an a-profit metric to manage expected profitability vs. downside risk due to uncertainty in market share prediction...

In new product design, risk averse firms must consider downside risk in addition to expected profitability, since some designs are associated with greater market uncertainty than others. We propose an approach to robust optimal product design for profit maximization by introducing an α-profit metric to manage expected profitability vs. downside risk due to uncertainty in market share prediction...

This paper analyzes the risk-return trade-off in the hedge fund industry. We compare semi-deviation, value-at-risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard deviation at the individual fund level as well as the portfolio level. Using the Fama and French (1992) methodology and the combined live and defunct hedge fund data from TASS, we find that the left-tail risk captured ...

For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the variance of returns, a questionable and restrictive measure of risk. The semivariance of returns is a mor...

This paper contributes to the debate about the extent to which liquidity risk affects asset prices. Motivated by evidence on downward liquidity spirals, flights to liquidity and investor perceptions of risk, we develop and test a liquidity-adjusted capital asset pricing model in which the key innovation is separating liquidity risk into asymmetric upside and downside risks. Our model bridges th...

volume indicates. Index options give market participants the ability to participate in anticipated market movements without having to buy or sell a large number of securities, and they permit portfolio managers to limit downside risk. Given their prominence and functions, the pricing efficiency of these markets is of great importance to academics, practitioners , and regulators. Well-functionin...

Portfolio selection problem deals with how to form a satisfying portfolio, taking into account the uncertainty involved in the behavior of the financial markets. Markowitz (1952) established the relationship between the mean and variance of the investment in the framework of risk-return trade-off. Since then a variety of enlarged and improved models have been developed in several directions. So...