In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at … the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is … variance, ERC and risk parity strategies in portfolios of several large institutional investors. These portfolio constructions …

capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and … investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk …, this study employs Value-at-Risk with delta-normal approach. The results show whether fund managers would be able to …

This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then …

an investor receive in return for bearing that extra risk? I find that one such put option will cause the distribution to …

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk … management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … such a risk estimator for large portfolios is largely unknown, and a simple inequality in the previous literature gives an …

problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …

about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk …