The last five years have witnessed a great momentum in the research into measures of financial risk. After many years …-friendly solutions have been proposed. These new measures of risk should be of great interest for investors, financial institutions as … perspective across a wide selection of topics, ranging from the critique of some currently used methods, like Value at Risk, to …

offering greater returns while risk is reduced through extensive diversification. Hedge funds have indeed grown exponentially …

This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal …

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by … law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit …

of assets with short-selling where there is risk and ambiguity. Agents have Bewley’s incomplete preferences. As an … of the risk adjusted sets of probabilities intersect. The more risk averse, the more ambiguity averse the agents, the …

indeed provide liquidity, is challenged by the price risk they bear due to their inventory. In this paper, we provide optimal …

We study imperfect competition between insurers in a multiple-risk environment. In the absence of asymmetric …