The main aspect of security analysis is its valuation through a relationship between the
security return and the associated risk. The purpose of this paper is to review the traditional …

We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

A comprehensive guide to financial econometrics Financial econometrics is a quest for
models that describe financial time series such as prices, returns, interest rates, and …

This chapter generalises the traditional capital asset pricing model (CAPM) relation in the
four‐moment framework, with or without a risk‐less asset. The validity of the Sharpe‐Lintner …

The purpose of this article is to present the Three-moment Capital Asset Pricing Model and
some recent extensions. The traditional CAPM is based on several restrictive hypotheses. In …

Financial Economics and Econometrics provides an overview of the core topics in
theoretical and empirical finance, with an emphasis on applications and interpreting results …

Using high-frequency stock returns in the Indian banking sector, we find that the beta on
jump movements substantially exceeds that on the continuous component, and that the …

This Ph. D. dissertation is concerned with using model based and computation intensive
statistical approaches to gain insight into substantive issues in finance related topics. It …

The dissertation consists of four independent but related studies on jump risk and the
systemic risk of Indian banking stocks. Jumps are defined as abnormal stock price …

In today's increasingly volatile financial markets and uncertain global economic
environment, stock markets are becoming more and more risky and managed funds' …