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   Articles with "downside risk" as a keyword



Mitigating downside risk of portfolio diversification: Wine versus other tangible assets

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recommendations! Published in 2021 at "Economic Modelling"

DOI: 10.1016/j.econmod.2021.105579

Abstract: Abstract Investors increasingly use tangible assets and especially wine to reduce the volatility of their portfolios through improved diversification. However, these assets are long-horizon investments, and therefore, short-term fluctuations (volatility) are of little relevance. Instead,… read more here.

Keywords: tangible assets; risk; wine; downside risk ... See more keywords

Does mispricing, liquidity or third-party certification contribute to IPO downside risk?

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recommendations! Published in 2017 at "International Review of Financial Analysis"

DOI: 10.1016/j.irfa.2017.03.001

Abstract: This study analyses the impact of initial return, post-issue liquidity, and third-party certification on downside risk of initial public offerings (IPOs). Downside risk, measured by value-at-risk (VaR) and conditional value-at-risk (CVaR), draws upon Extreme Value… read more here.

Keywords: liquidity; risk; party certification; downside risk ... See more keywords

Asset pricing and downside risk in the Australian share market

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recommendations! Published in 2017 at "Applied Economics"

DOI: 10.1080/00036846.2017.1282143

Abstract: ABSTRACT As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a… read more here.

Keywords: downside; asset pricing; pricing downside; downside risk ... See more keywords

The effect of the 2007 ethanol mandate on downside risk in agriculture: evidence from Kansas farmers

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recommendations! Published in 2019 at "Applied Economics Letters"

DOI: 10.1080/13504851.2018.1489495

Abstract: ABSTRACT The Energy Independence and Security Act of 2007 increased the amount of corn ethanol that must be blended into motor vehicle and other fuels as part of the renewable fuel standard. The purpose of… read more here.

Keywords: 2007 ethanol; downside; downside risk; effect 2007 ... See more keywords
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Hedging the downside risk of commodities through cryptocurrencies

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recommendations! Published in 2020 at "Applied Economics Letters"

DOI: 10.1080/13504851.2020.1739609

Abstract: ABSTRACT Today, commodities are exposed to ever-increasing price volatilities due to extreme market uncertainties linked with financialization. The paper addresses a timely question of whether cryptocurrencies are hedge and safe-haven for commodities. We focus on… read more here.

Keywords: risk commodities; downside risk; hedging downside; commodities cryptocurrencies ... See more keywords
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ESG risk exposure: a tale of two tails

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recommendations! Published in 2024 at "Quantitative Finance"

DOI: 10.1080/14697688.2024.2349016

Abstract: This paper studies the ESG impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (ΔCoESGRisk). ΔCoESGRisk is a measurement based on the co-movement between… read more here.

Keywords: esg risk; risk; risk exposure; downside risk ... See more keywords

A Reinforcement Learning–Based Approach With Downside‐Risk Protection for Battery Dispatch in Day‐Ahead Markets

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recommendations! Published in 2025 at "International Transactions on Electrical Energy Systems"

DOI: 10.1155/etep/7939775

Abstract: In day‐ahead electricity markets with high renewable penetration, price prediction errors are prevalent. These errors significantly increase the downside risk of energy storage arbitrage, potentially diminishing profits or even causing sustained losses. To address the… read more here.

Keywords: downside; protection; dispatch; risk ... See more keywords

Assessing the Value of Information According to Attitudes Towards Downside Risk and Upside Potential

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recommendations! Published in 2017 at "Eurosurveillance"

DOI: 10.2118/185841-ms

Abstract: The Value of Information (VoI) analysis typically assesses information opportunities to manage uncertainty. The VoI is traditionally estimated using the expected monetary value (EMV), which overlooks the decision maker's (DM) attitude towards upsides and downsides.… read more here.

Keywords: information; uncertainty; downside risk; value ... See more keywords

EARNING DOWNSIDE RISK AND THE SIGNIFICANCE OF ESG PERFORMANCE IN THE PRIMARY ECONOMIC SECTOR

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recommendations! Published in 2025 at "International Journal of Business and Society"

DOI: 10.33736/ijbs.7882.2025

Abstract: This study explores the impact of corporate sustainability measured by environmental, social, and governance (ESG) performance on earning downside risk (EDR). We focus on the role (of ESG) performance in moderating firms' earning downside risk… read more here.

Keywords: esg performance; earning downside; primary economic; performance ... See more keywords