social value judgments and individuals’ risk preferences, the latter raising an empirical question about choices under …, raises further complications regarding the relationship between social judgments and individuals’ risk preferences …

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 …

.S., among the first of these leveraged funds were managed with a slightly modified Constant Proportion Portfolio Insurance (CPPI … analyzed as a constant allocation portfolio strategy and then analyze its properties. Then, we establish a CPPI equivalence …

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 …

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 …

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 …

Taxation and risk taking are examined in a general equilibrium model that incorporates uncertain government revenue in … riskless component of investment returns or to an ex ante wealth tax -- both of which absorb no private risk and yield certain … for behavior (private and total risk taking) and welfare are immediate. Moreover, these results are independent of the …