Title:Tail-related risk measurement and forecasting in equity markets Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; AVDOULAS, ChristosDate:2017Citation:
- Computational economics, 2017, OnlineFirst
Type:ArticleAbstract:Parametric, simulation-based and hybrid methods are utilized to estimate various risk measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall. An exhaustive backtesting analysis is performed ...
Title:Portfolio optimization with investor utility preference of higher-order moments : a behavioral approach Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, IordanisDate:2017Citation:
- Review of behavioral economics, 2017, Vol. 4, No. 2, pp. 83-106
Type:ArticleAbstract:We incorporate advanced higher moments of individual or institutional investors in a new approach dealing with the portfolio selection problem, formulated under a multi-criteria optimization framework. The “integrated ...
Title:Revisiting the three factor model in light of circular behavioural simultaneities Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, Iordanis; UDDIN, Gazi SalahDate:2018Citation:
- Review of behavioral finance, 2018, Vol. 10, No. 3, pp. 210-230
Type:ArticleAbstract:Purpose The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The ...