When it comes to managing a portfolio with hundreds of millions or billions of dollars, it’s important to have a firm handle on risk. Specifically, fund managers need to calculate the Value at Risk ...
Citations: Jagannathan, Ravi, Zhenyu Wang. 1996. The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance. (1)3-53.
Paolacci, Gabriele; André, Quentin. Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization. Management Science. Nov2024, Vol. 70 Issue 11, p7524-7536. Most ...
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