Option-Implied Downside Risk Premiums

2015 ◽  
Author(s):  
Yao Li ◽  
Tong Wang
Keyword(s):  
Downside Risk ◽  
Risk Premiums

Traditional Beta, Downside Risk Beta, and Market Risk Premiums

CFA Digest ◽  
2005 ◽  
Vol 35 (2) ◽  
pp. 44-45
Author(s):  
William A. Trent
Keyword(s):  
Downside Risk ◽  
Market Risk ◽  
Risk Premiums

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

2019 ◽  
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Downside Risk ◽  
Empirical Literature ◽  
Direct Result ◽  
Risk Capital ◽  
Cross Sectional ◽  
Risk Premiums ◽  
Out Of Sample ◽  
The Cross

In this article, the authors attempt to get a better understanding of the cross-section of alternative risk premiums using a multi-asset version of the downside risk capital asset pricing model (CAPM). In line with the empirical literature, they find that the cross-section of realized returns is much better explained when using the downside CAPM, rather than relying on the traditional CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross-sectional regressions. In particular, they find that taking on downside risk is not always systematically rewarded. This might be due to the limited availability of time series that essentially overweight the exceptional events of 2008 or a direct result of creating backtests with attractive in-sample features that are impossible to repeat out-of-sample.

Emerging Market Risk Premiums

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington
Keyword(s):  
Emerging Market ◽  
Market Risk ◽  
Risk Premiums

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk

Estimating Risk Premiums of Individual Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (4) ◽  
pp. 6-8
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Risk Premiums

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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