scholarly journals Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate

2016 ◽  
Author(s):  
Martin Gremm
Keyword(s):  
Gauge Symmetries ◽  
Global Gauge ◽  
Risk Free Rate ◽  
Free Rate

An Analysis of Volatility Spread via the Risk-Free Rate Proxy

2014 ◽  
Author(s):  
Lin-Yee Hin ◽  
Nikolai Dokuchaev
Keyword(s):  
Risk Free Rate ◽  
Free Rate

Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2015: A Survey

2015 ◽  
Author(s):  
Pablo Fernandez ◽  
Alberto Ortiz Pizarro ◽  
Isabel Fernnndez Accn
Keyword(s):  
Discount Rate ◽  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Rate Risk ◽  
Risk Free Rate ◽  
Free Rate

Huge Dispersion of the Risk-Free Rate and Market Risk Premium Used by Analysts in 2015

2015 ◽  
Author(s):  
Pablo Fernandez ◽  
Alberto Ortiz Pizarro ◽  
Isabel Fernnndez Accn
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2017: A Survey

2017 ◽  
Author(s):  
Pablo Fernandez ◽  
Vitaly Pershin ◽  
Isabel Fernnndez Accn
Keyword(s):  
Discount Rate ◽  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Rate Risk ◽  
Risk Free Rate ◽  
Free Rate

Robust Benchmarking of Indian Mutual Funds-A Partial Frontier Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Ram Pratap Sinha
Keyword(s):  
Decision Making ◽  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Multi Criteria Decision Making ◽  
Risk Framework ◽  
Programming Techniques ◽  
Risk Free Rate ◽  
Risk Ratios ◽  
Free Rate

Performance analysis of mutual funds is usually made on the basis of return-risk framework. Traditionally, excess return (over risk-free rate) to risk ratios were used for the purpose mutual fund evaluation. Subsequently, the application of non-parametric mathematical programming techniques in the context of performance evaluation facilitated multi-criteria decision making. However,the estimates of performance on the basis of conventional programming techniques like DEA and FDH are affected by the presence of outliers in the sample observations. The present, accordingly uses more robust benchmarking techniques for evaluating the performance od sectoral mutual fund schemes based on observations for the second half of 2010. The USP of the present study is that it uses two partial frontier techniques (Order-m and Order- a) which are less susceptible to the problem of extreme data.

scholarly journals UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION

2013 ◽  
Vol 29 (3) ◽  
pp. 394-414 ◽  
Author(s):  
Rien J. L. M. Wagenvoort ◽  
Sanne Zwart
Keyword(s):  
Monetary Union ◽  
European Monetary Union ◽  
European Monetary ◽  
The Common ◽  
Risk Free Rate ◽  
Free Rate

Financial innovation, precautionary saving and the risk-free rate

1997 ◽  
Vol 27 (1) ◽  
pp. 113-131 ◽  
Author(s):  
Ronel Elul
Keyword(s):  
Financial Innovation ◽  
Precautionary Saving ◽  
Risk Free Rate ◽  
Free Rate

scholarly journals Long Run Returns Predictability and Volatility with Moving Averages

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 105 ◽  
Author(s):  
Chia-Lin Chang ◽  
Jukka Ilomäki ◽  
Hannu Laurila ◽  
Michael McAleer
Keyword(s):  
Financial Performance ◽  
Stock Returns ◽  
Moving Average ◽  
Long Run ◽  
Returns Predictability ◽  
Rolling Window ◽  
Risk Free Rate ◽  
Data Frequency ◽  
Predictability Of Returns ◽  
Free Rate

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It is found that performance improves, on average, when the rolling window is expanded and the data frequency is low. However, when the size of the rolling window reaches three years, the frequency loses its significance and all frequencies considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run. The procedure takes account of the issues of variable persistence as we use only returns in the analysis. Therefore, we use the performance of MA rules as an instrument for testing returns predictability in financial stock markets.

scholarly journals The risk-free rate in heterogeneous-agent incomplete-insurance economies

1993 ◽  
Vol 17 (5-6) ◽  
pp. 953-969 ◽  
Author(s):  
Mark Huggett
Keyword(s):  
Heterogeneous Agent ◽  
Risk Free Rate ◽  
Insurance Economies ◽  
Free Rate
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