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Exhibiting Abnormal Returns Under a Risk Averse Strategy

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  • Dimitrios G. Konstantinides

    (University of the Aegean)

  • Georgios C. Zachos

    (University of the Aegean)

Abstract

This paper is devoted to the investment strategies that combine asset pricing models and coherent risk measures. In particular, we utilize the theoretical framework of Balbas et al. (J Risk 18(4):25–52, 2016), which suggests that simply by managing a portfolio of assets, an investor can achieve risk that converges to −∞ and returns that converge to + ∞. We contribute on that framework by providing evidence that arise from the CAPM model, in regard to the efficient market hypothesis. In addition, our results suggest that an investor can exhibit returns that outperform the market index by managing a portfolio less volatile than the market.

Suggested Citation

  • Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:2:d:10.1007_s11009-018-9673-9
    DOI: 10.1007/s11009-018-9673-9
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    Cited by:

    1. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.

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