Proceeding of International Conference on Entrepreneurship (IConEnt)
Vol. 2 (2022): Proceedings of the 2nd International Conference on Entrepreneurship (IConEnt)

COHERENT RISK MEASUREMENT

Budhidarma, Valentino (Unknown)

Article Info

Publish Date
30 Jan 2023

Abstract

In the world of finance, risk management refers to the practice of identifying potential risks in advance, analyzing them, and taking precautionary steps to reduce/curb the risk. When an entity makes an investment decision, it is exposed to many financial risks. The purpose of this paper is to test whether any of the five risk measurements: (1) alpha, (2) beta, (3) standard deviation, (4) Sharpe ratio, and (5) Treynor Ratio are coherent. The results show that none of the five risk measurements are coherent.

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Journal Info
Proceeding of International Conference on Entrepreneurship (IConEnt)
Website

Abbrev

IConEnt

Publisher

Universitas Pelita Harapan

Subject

Economics, Econometrics & Finance

Description

Proceeding of International Conference on Entrepreneurship (IConEnt) berisi artikel-artikel ilmiah dari para peneliti dari lingkup internasional yang mengikuti konferensi IConEnt yang akan diadakan rutin setiap tahun oleh Fakultas Ekonomi dan Bisnis Universitas Pelita ...