and calculation of risk measures. Parameters are estimated on three bivariate series, using a two-stage methodology … features. As an application, we consider investment strategies for a portfolio with two risky assets and a risk-free cash … account. We calculate value-at-risk (VaR) values at a 95% risk level using both simulation-based and distribution …

area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and … ambiguity-averse investor allocating resources to a risk-free asset, a market index, a green stock, and a brown stock. The study … study contrasts ambiguity-averse investors with their non-ambiguity counterparts, revealing more cautious risk exposures …

, value function, and optimal wealth process for two different cases of prices of risk on the stock. We find that when EV …

, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular …, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk …