On Animal Spirits and Economic Decisions: Value-at-Risk and Value-within-Reach as Measures of Risk and Return

2015 ◽  
Author(s):  
Domingo C. Joaquin
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk And Return ◽  
Animal Spirits ◽  
Economic Decisions ◽  
Measures Of Risk

HOW TO PRICE INFORMATION BY KULLBACK-LEIBLER ENTROPY AND A MOMENT-RETURN RELATION FOR PORTFOLIOS

2001 ◽  
Vol 04 (03) ◽  
pp. 535-543
Author(s):  
ANDREAS DE VRIES
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Optimization Problem ◽  
Portfolio Theory ◽  
Price Information ◽  
Expected Return ◽  
Risk And Return ◽  
Leibler Information ◽  
Risk Constraint

A connection between the notion of information and the concept of risk and return in portfolio theory is deduced. This succeeds in two steps: A general moment-return relation for arbitrary assets is derived, thereafter the total expected return is connected to the Kullback-Leibler information. With this result the optimization problem to maximize the expected return of a portfolio consisting of n subportfolios by moment variation under a given value-at-risk constraint is solved. This yields an ansatz to price information.

Animal Spirits and Value at Risk Estimation

2014 ◽  
Author(s):  
Grzegorz Andruszkiewicz ◽  
Mark Davis ◽  
Sebastien Lleo
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Animal Spirits

Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration

2021 ◽  
Vol 56 ◽  
pp. 101371
Author(s):  
Zhengxun Tan ◽  
Binuo Xiao ◽  
Yilong Huang ◽  
Li Zhou
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Stock Markets ◽  
Value At Risk ◽  
Fractional Cointegration ◽  
Risk And Return ◽  
The Us

scholarly journals Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)

2020 ◽  
Vol 4 (02) ◽  
Author(s):  
Iin Emy Prastiwi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Financial Statements ◽  
Risk Level ◽  
P Value ◽  
Investment Risk ◽  
Average Risk ◽  
Risk And Return ◽  
Net Return ◽  
Significant Probability

Abstract The purpose of this study is to understand the risk and return on net return on mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial statements of Bank Syariah Mandiri, Bank BRI Syariah, and Muamalat Bank for three years, 2015-2017. The VaR analysis results show that the average risk of mudharabah deposit investment for 3 years in Bank Syariah Mandiri is 2015 at 6.61% and net return -0.53%, in 2016 the risk is 0.14% and net return 3.21 %, in 2017 the risk is 0.17% and net return is 0.32%. BRI Syariah Bank is 2015 at 0.08% and net return of 4.28%, in 2016 the risk is 0.07% and net return 3.77%, in 2017 the risk is 0.08% and net return 42.81% . and Bank Muamalat is 2015 at 0.63% and net return of 0.04%, in 2016 the risk is 0.40% and net return is 0.08%, in 2017 the risk is 0.14% and net return is 0.26%. In addition there are differences in the level of risk and return (net return) in Bank Syariah Mandiri, BRI Syariah, and Muamalat Bank with significant probability (p-value) for the risk level of 0.005 and return (net return) of 0.045. From the risk level and net return for three years, BRI Syariah Bank is a bank that has prospective value. Key Words : VaR, risk, net return, mudharabah deposit

Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices

2017 ◽  
Vol 5 (1) ◽  
pp. 44-48
Author(s):  
Felor Ghorashi ◽  
Roya Darabi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk And Return

Is there a low-risk anomaly in the UAE stock market?

2019 ◽  
Vol 1 (2) ◽  
pp. 39-44 ◽  
Author(s):  
Jan Jakub Szczygielski ◽  
Mateusz Mikutowski ◽  
Adam Zaremba
Keyword(s):  
At Risk ◽  
High Risk ◽  
Stock Market ◽  
United Arab Emirates ◽  
Significant Relationship ◽  
Value At Risk ◽  
Idiosyncratic Risk ◽  
Low Risk ◽  
Measures Of Risk

We investigate the low-risk anomaly in the United Arab Emirates stock market. Using a sample of stocks listed on the DFM and ADX, we examine the performance of portfolios from one-way sorts on several prominent measures of risk: total volatility, beta, idiosyncratic risk, and value at risk. We find no significant relationship between these measures of risk and future returns – either positive or negative. In consequence, our results do not support the hypothesis that the low-risk anomaly is present in the UAE stock market. Low-risk stocks do not significantly outperform high-risk securities.

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk
Sign in / Sign up

Export Citation Format

Share Document