A Generalized Measure of Riskiness

作者：Bali Turan G^*; Cakici Nusret; Chabi Yo Fousseni

来源：Management Science, 2011, 57(8): 1406-1423.

DOI：10.1287/mnsc.1110.1373

• riskiness
• economic index of riskiness
• operational measure of riskiness
• risk-neutral measures
• stock returns

This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810-836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure of riskiness. J. Political Econom. 117(5) 785-814). The paper introduces the generalized options' implied measure of riskiness based on the risk-neutral return distribution of financial securities. It also provides asset allocation implications and shows that the forward-looking measures of riskiness successfully predict the cross section of 1-, 3-, 6-, and 12-month-ahead risk-adjusted returns of individual stocks. The empirical results indicate that the generalized measure of riskiness is able to rank equity portfolios based on their expected returns per unit of risk and hence yields a more efficient strategy for maximizing expected return of the portfolio while minimizing its risk.

• 出版日期2011-8