Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures … results hold even if the CVaR is used, because all downside risk measures are difficult to estimate. The popularity of … variance as a measure of risk appears therefore to be rationally justified. …

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is …

(UoCOVID-19) and the risk perceptions of the COVID-19 pandemic (RPoCOVID-19), have a negative effect on EP. This study …

and emotional status on risk behavior in general. …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

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 …

This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default …