Harvey and Siddique (2000) show that a security's coskewness, measured by the
comovement of its stock return and the variance of market return, significantly explains its stock …

Which type of managerial compensation—stock or options—is more effective as an incentive
to maximize shareholder value and curb excessive risk-taking has been debated often in …

In this paper a new approach is developed to value life insurance contracts by means of the
method of backward stochastic differential equation. Such a valuation may relax certain …

In this paper, we investigate how the combination of investment choices and weak assumptions
regarding utility maximization implicitly define a risk-adjusted performance measure (…

In this paper, we first develop a model by using the concept of Omega in the Risk-adjusted
Return Theory. Since the theory quantifies an individual's return-risk relation and the Omega …

In this paper, a new theory is developed to quantify the relation between risks and a return
required by an investor. This theory is built on the principle that a required return is a product …

We derive the risk-adjusted performance measure (RAPM) Omega and the more general
Kappa by applying the variational principle to the utility function with respect to the investment …

In this paper, we introduce an asset-pricing model with higher moments than the variance
using the Risk-adjusted Return Theory developed by Roland and Xiang (2004a). The model is …

If asset returns show multi-dimensional risks, risk-adjusted performance measures (RAPMs)
should incorporate these risks. We extend the risk-adjusted performance measure theory …

We propose a simple two-stage portfolio tilting strategy to address the long-standing “risk
factors eating alpha” problem. Fundamental factors are projected onto risk factors to obtain a …