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

expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of …

the definition of five fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk …

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 …