Risk-Return Analysis of Dynamic Investment Strategies

2011 ◽  
Author(s):  
Benjamin Bruder ◽  
Nicolas Gaussel
Keyword(s):  
Investment Strategies ◽  
Risk Return ◽  
Dynamic Investment

A Study on the Strategic Application of Abnormal Risk-Return Relationship

2017 ◽  
Vol 25 (3) ◽  
pp. 339-367
Author(s):  
Youngmin Choi ◽  
Bohyun Yoon
Keyword(s):  
Capital Market ◽  
Efficient Frontier ◽  
Investment Strategies ◽  
Traditional Concept ◽  
Period Analysis ◽  
Empirical Results ◽  
Risk Return ◽  
High Return ◽  
Before And After ◽  
Preliminary Study

This paper focuses on the strategic application based on the empirical results of risk-return relationship against the classical concept. Empirical analysis from domestic data, we verify that the traditional concept-‘high risk, high return’ relationship are maintained, however, we confirm the falling pattern in the highest total volatility group. Even though we implies double sorting method to control the well known systematic factor such as BM and size, we still confirm such abnormal risk-return relationship. Furthermore, we perform sub-period analysis before and after the liberalization of Korean capital market and we find such abnormal risk-return relationship is appeared after the liberalization. Based on our empirical results, we establish and verify the new benchmark that evenly allocate highest volatility portfolio to sub-volatility portfolio. Under the new benchmark, we confirm the expansion of the efficient frontier and the improvement of Sharpe ratio. We believe that our results provide an applicability research of smart beta strategy and new benchmark based on such strategy. We expect our research to be used as preliminary study to overcome the era of “new normal” and to reform the investment strategies correspond to segmentation of benchmark.

Dynamic investment strategies for a risky R and D project

1977 ◽  
Vol 14 (1) ◽  
pp. 144-152 ◽  
Author(s):  
S. D. Deshmukh ◽  
S. D. Chikte
Keyword(s):  
Investment Strategy ◽  
Current Status ◽  
Investment Strategies ◽  
External Market ◽  
Financing Decisions ◽  
R And D ◽  
Final Project ◽  
Dynamic Investment ◽  
Market Uncertainties ◽  
Over Time

During the course of an R and D project, it is often meaningful and possible to evaluate its status, so that this information may be used for making better financing decisions over time. The project status changes stochastically due to the internal (technological) and the external (market) uncertainties, the former being partially controlled by expenditure of resources. In addition to the resource expenditure strategy, the manager must also decide when to terminate the project. Once the project is terminated, a terminal return is collected, whose value depends on the final project status. It is shown that the project should be terminated if the current status is either too low or too high to make further expenditure worthwhile. Otherwise, for an intermediate (promising) status of the project, an aggressive investment strategy is shown to be optimal. Thus, the model unifies the problems of optimally undertaking, financing and terminating an R and D project in face of various uncertainties.

scholarly journals Low-risk effect: evidence, explanations and approaches to enhancing the performance of low-risk investment strategies

2020 ◽  
Vol 17 (2) ◽  
pp. 128-145
Author(s):  
Mayank Joshipura ◽  
Nehal Joshipura
Keyword(s):  
Stock Exchange ◽  
Empirical Studies ◽  
Investment Strategy ◽  
The Body ◽  
Low Risk ◽  
Investment Strategies ◽  
Momentum Effect ◽  
Risk Return ◽  
Risk Effect ◽  
Risk Investment

The authors offer evidence for low-risk effect from the Indian stock market using the top-500 liquid stocks listed on the National Stock Exchange (NSE) of India for the period from January 2004 to December 2018. Finance theory predicts a positive risk-return relationship. However, empirical studies show that low-risk stocks outperform high-risk stocks on a risk-adjusted basis, and it is called low-risk anomaly or low-risk effect. Persistence of such an anomaly is one of the biggest mysteries in modern finance. The authors find strong evidence in favor of a low-risk effect with a flat (negative) risk-return relationship based on the simple average (compounded) returns. It is documented that low-risk effect is independent of size, value, and momentum effects, and it is robust after controlling for variables like liquidity and ticket-size of stocks. It is further documented that low-risk effect is a combination of stock and sector level effects, and it cannot be captured fully by concentrated sector exposure. By integrating the momentum effect with the low-volatility effect, the performance of a low-risk investment strategy can be improved both in absolute and risk-adjusted terms. The paper contributed to the body of knowledge by offering evidence for: a) robustness of low-risk effect for liquidity and ticket-size of stocks and sector exposure, b) how one can benefit from combining momentum and low-volatility effects to create a long-only investment strategy that offers higher risk-adjusted and absolute returns than plain vanilla, long-only, low-risk investment strategy.

On dynamic investment strategies

2000 ◽  
Vol 24 (11-12) ◽  
pp. 1859-1880 ◽  
Author(s):  
John C. Cox ◽  
Hayne E. Leland
Keyword(s):  
Investment Strategies ◽  
Dynamic Investment
Sign in / Sign up

Export Citation Format

Share Document