This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic … criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a … European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve … quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially … explored risks or risk takers in a wide variety of empirical contexts. …

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures … applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties. …

The paper illustrates how one may assess our comprehensive uncertainty about the various relations in the entire chain ….5 deg;C. The 99 percent confidence interval ranges from 3.0 deg;C to 6.9 deg;C. Uncertainty about socio-economic drivers of … climate change lie behind a non-trivial part of this uncertainty about global warming …