This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so …-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected … Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish an inequality for …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk …

markets, such as liquidity dry-ups, portfolio inertia, and negative risk premia …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …