This paper demonstrates gender differences in risk aversion and ambiguity aversion. It also contributes to a growing … of cognition. Women are more risk averse than men. Over an initial range, women require no further compensation for the … as men. Psychological variables account for some of the interpersonal variation in risk aversion. They explain none of …

This paper demonstrates gender differences in risk aversion and ambiguity aversion. It also contributes to a growing … of cognition. Women are more risk averse than men. Over an initial range, women require no further compensation for the … as men. Psychological variables account for some of the interpersonal variation in risk aversion. They explain none of …

introduce the Kappa ratios, based on downside risk measures which take account of the asymmetry of the return probability … combination of risk free, stock and call/put instruments with respect to Kappa performance measures and in particular to the …

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside … risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures … take account of the entire return distribution. We show that the CPPI method performs better than the OBPI. As a …

Controlling and managing potential losses is one of the main objective of the Risk Management. Following Ben Ameur and … Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management … depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from …

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It … to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It … also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation …