increase if country selection is incorporated into the strategies, but the risk of the strategies increases proportionally … for the excess returns. We find no evidence of higher market risk or lower liquidity of the strategies. Instead, based on …

This experimental study is concerned with the impact of the timing of the resolution of risk on people’s willingness to … inferred from decisions regarding hypothetical choice problems, we had participants put their own money at risk in a real … period under delayed resolution (which involved two days). Affective traits and risk attitudes were measured through a web …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both …

or the CAPM approach, more advanced GARCH techniques including estimating BEKK or DCC models and alternatively through …

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …