Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 42 for “"Downside Risk"”.
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A Treatise on Downside Risk
… foundation for the estimation of systematic downside risk. Using a new approach, I derive a measure of downside systematic risk, downside beta, that is free of the endogeneity problem and thus straightforward to calculate. Since there is no consensus in the literature regarding the …
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Essays on Asset Pricing and Downside Risk
… and diverse literature on the relation between downside risk and asset prices. In chapter one, we use a famous quote among professional investors, "focus on the downside, and the upside will take care of itself", to motivate a representative consumer-investor who only cares about the downside. …
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The choice-theoretic characterizations of risk changes and risk attitudes in cumulative prospect theory : a stochastic dominance approach
… an effective tool to characterize individuals’ risk attitudes in decision making under risk by comparing risky prospects. The emergence of the cumulative prospect theory (CPT), developed by Kahneman and Tversky (1979) and Tversky and Kahneman (1992), provides a prominent alternative to the …
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ESSAYS ON PORTFOLIO OPTIMIZATION AND MANAGEMENT USING BOOTSTRAPPING METHOD: THE CASE OF BANK INDONESIA
… safety-first criteria will be used to create downside risk portfolios of Bank Indonesiaa??s foreign currency reserve. This thesis also combines various downside risk models with stochastic sample acceptance region. The final essay investigates the currently popular law of active management …
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Marketing Expenses, Brand Equity, and a Firm's Financial Value
… Esteem, Knowledge, and Energy) influence downside risk, upside risk, and the differential between upside and downside risk. Results indicate that (i) Esteem has a negative effect on the risk differential, which comes from a more pronounced positive effect on downside risk, (ii) Energy has …
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System architecture decisions under uncertainty : a case study on automotive battery system design
… a company may develop strategies to mitigate downside risk for future uncertainties while developing upside opportunities. The MIT-Ford Alliance has extended the techniques of flexibility analysis beyond high-level architecture to core product design decisions in future vehicle …
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Essays on Real Estate Investment Trusts
… investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher …
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Corporate environmental performance and its impact on financial performance and financial risk: Evidence from Australia
… of chemicals and different levels of toxicity, a risk factor should be calculated for all chemicals on the basis of human health risk, environment risk and risk of exposure. Once a single risk factor is calculated for each chemical, then it should be multiplied by the level of each company …
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Essays on Financial Market Interdependence
This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and …
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Value of incorporating flexibility in lab buildings : a real options approach
… of lab buildings to hedge against the downside risk. The quantitative component builds upon that hypothetical lab building development case and creates a Real Options case as a framework for applying and valuing flexibility in this complex building type. Through this demonstration, …
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Essays on the restructuring of the electricity industry in the United States
… study applies a method of joint estimation of risk preferences and costs to assess the nature of attitudes toward risk of the U.S. electric utilities. The estimates of absolute risk aversion, relative risk aversion, and downside risk aversion are obtained. The absolute majority of electricity …
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Essays in Empirical Asset Pricing
… investigate the relationship between systematic risk and credit default swap (CDS) returns and discovers that cross-sectional dispersion in future CDS returns can be rationalized by differences in firm’s sensitivities to the market return. Further analysis shows that investors in the CDS market …
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The impact of project flexibility on project choice and capital structure
… impact on the projects value in the face of downside risk. ROA, by virtue of its explicit cash flow volatility modelling provides a framework for a consideration of the optimal level of project debt. In this case it suggests that the project can carry more debt than would have been acceptable …
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Application of GARCH Type Models in Forecasting Value at Risk
Dynamic risk management requires the risk measures to adapt to information at different times, such that this dynamic framework takes into account the time consistency of risk measures interrelated at different times. The value-at-risk (VaR) is one of the most well-known downside risk measures due …
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Essays in Currency Markets
… currency excess returns can be accounted for by downside market risk. Estimating the downside risk model proposed by Burnside and Graveline (2014), a piecewise linear factor model that subsumes previous downside risk models of currencies, we find that downside market risk does a poor job in …
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On front-running momentum and portfolio optimization
… levels of skewness and better protection against downside risk. In addition, this study demonstrates evidence that momentum investing using the widespread "monthend" view is rarely a strictly dominant strategy.
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Nonfinancial performance measures and risk-taking: evidence from the oil and gas industry
… performance measures (NFPMs) and firms’ risk-taking using CEO compensation contracts in the oil and gas industry (SIC 1311). The oil and gas industry provides an ideal setting for my study because firms in this industry are required to disclose detailed information about their risk …
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An Application Of Risk Contingent Credit Applied To New York Dairy Farms With U.S. Options On Class Iii Milk Futures
… all dairy farmers is an example of when business risk become so severe that the residual impact on financial risk become acute. While financial risk is ever present, stress results only when conditions arise in which downside risk result in a return on assets insufficient to meet fixed financial …
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Assessing the feasibility of a weather index insurance for the semi-arid region of Brazil
… proved to have a low level of basis risk. Thirdly, a WII product was designed, priced and evaluated, proving to be effective in decreasing farmers’ downside risk. It is concluded, therefore, that it would be indeed feasible to establish a WII product in the semi-arid region of Brazil. …
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A streamlined real options model for Real Estate Development
… developers with flexibility to minimize downside risk or take advantage of upside potential as conditions change from deterministic expectations. Though developers currently incorporate this value into their decision making using intuition and judgment, the model presented here provides a …
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