... Risk analysis Risk assessment Returns Financial risk Portfolio investment A proper risk measure helps determine appropriate risk-adjusted returns for bearing a given level of risk. There exists a large body of literature attempting to identify the risk measure that better explains the cross...

... markets Options markets Securities Risk assessment Risk management If r_t, μ_t and σ_t are constants, the above result is consistent with the corresponding result in Yang and Siu (2001...

... and Treynor measures, and Jensen's Alpha. © Emerald Group Publishing Limited 2008 Performance measures Unit trusts Risk assessment Diversification Given the desire of investors to seek out diversification in their asset portfolios and considering the modest performance of the US...

... of such heuristics to optimise models of quite complex relationships. J. A. Bennell can be contacted at: jabz@soton.ac.uk © Emerald Group Publishing Limited 2006 Fund management Risk assessment Optimization techniques The objective of this paper is to investigate the use of improved...

... statistics indicate that the series are leptokurtic rather than normally distributed. This suggests that these processes can be modelled using the ARCH family of models (see, Bollerslev, 1986). Autoregressive processes Value analysis Premium pricing Stock returns Risk assessment The Fama...

... models Table III Planned or current usage of proprietary models Credit control Risk assessment Financial institutions Surveys Shareholder value maximization requires a firm to engage in risk management practices only if doing so enhances the value of the firm...

... rate change. This is consistent with what one would expect when a hedge in instituted (see Table I). John Manley can be contacted at: manley@iona.edu © Emerald Group Publishing Limited 2006 Currency accounting International investments Risk assessment Stock markets Financial...