degree of market integration and risk premium. Our empirical results show general evidence of market integration varying … partial integration. Our investigation addresses the evolution and formation of total risk premiums, and confirms this … empirically. In fact, the total risk premium decomposition shows that the variance risk related to the local market index, the …

a traditional portfolio of stocks and bonds significantly improves its risk -adjusted performance. Diversification …

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous … daily commodity returns on the three market risk factors (federal funds rate, USD/Euro exchange rate, and world stock market … risks for agricultural commodity markets. Moreover, the tail dependence on the daily returns of the three market risk …

conditional multiple. In this time-varying framework, the multiple is conditionally determined in order the risk exposure to … risk management philosophy. We illustrate this approach in a Time-Invariant Portfolio Protection (TIPP) strategy, as …. Finally, we use an option valuation approach for measuring the gap risk in both conditional and unconditional approaches. …

The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the … dy- namics of risky logreturns. We use both VaR and Expected Shortfall as downside risk measures to control gap risk. We … provide accurate upper bounds on the multiple in order to limit this gap risk. We illustrate our theoretical results on Credit …