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

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

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

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

of optimal portfolio positions are small when uncertainty is high, whereas risk-based models usually predict the opposite …

Using option market data we derive naturally forward-looking, nonparametric and model-free risk estimates, three … return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option-implied value at risk and … conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations …

our robust approach. Time-varying features can also produce large biases in estimated equilibrium risk or ambiguity premia …