Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness-Reference-Cited by-同舟云学术

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Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness

Published:2020-07-22 Issue:2 Volume:26 Page:1739-1744
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Lu Richard¹,Cheung Adrian (Wai Kong)²^ORCID,Hoang Vu T.³,Islam Sardar M. N.⁴^ORCID

Affiliation:

1. Department of Risk Management and Insurance Feng Chia University Taichung City Taiwan

2. Faculty of Finance City University of Macau Taipa Macao

3. Program in Finance Feng Chia University Taichung City Taiwan

4. ISILC, VU Research Victoria University Melbourne Victoria Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1875

Reference12 articles.

1. Foster–Hart optimal portfolios

2. An Economic Index of Riskiness

3. Riskiness-minimizing spot-futures hedge ratio

4. Econophysics and Capital Asset Pricing

5. An Operational Measure of Riskiness

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