Exhibiting Abnormal Returns Under a Risk Averse Strategy View Full Text


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Article Info

DATE

2018-09-26

AUTHORS

Dimitrios G. Konstantinides, Georgios C. Zachos

ABSTRACT

This paper is devoted to the investment strategies that combine asset pricing models and coherent risk measures. In particular, we utilize the theoretical framework of Balbas et al. (J Risk 18(4):25–52, 2016), which suggests that simply by managing a portfolio of assets, an investor can achieve risk that converges to −∞ and returns that converge to + ∞. We contribute on that framework by providing evidence that arise from the CAPM model, in regard to the efficient market hypothesis. In addition, our results suggest that an investor can exhibit returns that outperform the market index by managing a portfolio less volatile than the market. More... »

PAGES

1-16

References to SciGraph publications

  • 2005-04. Inf-convolution of risk measures and optimal risk transfer in FINANCE AND STOCHASTICS
  • 2006-01. Generalized deviations in risk analysis in FINANCE AND STOCHASTICS
  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
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    http://scigraph.springernature.com/pub.10.1007/s11009-018-9673-9

    DOI

    http://dx.doi.org/10.1007/s11009-018-9673-9

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