Mitigating downside risk of portfolio diversification: Wine versus other tangible assets
Sign Up to like & getrecommendations! 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?
Sign Up to like & getrecommendations! 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
Sign Up to like & getrecommendations! 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
Sign Up to like & getrecommendations! 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
Hedging the downside risk of commodities through cryptocurrencies
Sign Up to like & getrecommendations! 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
Assessing the Value of Information According to Attitudes Towards Downside Risk and Upside Potential
Sign Up to like & getrecommendations! 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