This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

Risk: Is There a Unique Objective Measure? -- Expected Utility Theory -- Stochastic Dominance Decision Rules … Distributions -- Almost Stochastic Dominance (ASD) -- Stochastic Dominance and Risk Measures -- Stochastic Dominance and … Dominance Approach -- Non-Expected Utility and Stochastic Dominance -- Stochastic Dominance and Prospect Theory -- Multivariate …

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this … prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition …This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

Modelling of risk factors -- Setting up a multistage stochastic program -- Model output and performance analysis … consumer bank’s funding. The modelling for their risk management and pricing is a challenging yet crucial task in today’s asset … Modelling of risk factors Setting up a multistage stochastic program Model output and performance analysis Full program code for …

-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking … sufficiently poor fund performances substantially curtail managerial risk-taking, provide strong incentives to de-leverage, and …

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …