This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

In discrete time, every time-consistent dynamic monetary risk measure can be written as a composition of one-step risk measures. We exploit this structure to give new dual representation results for time-consistent convex monetary risk measures in terms of one-step penalty functions. We first...

In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0. This implies at least for coherent upper and lower previsions a correction of their interpretation,...

A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk...

From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean prot and loss dataand Value-at-Risk estimates of the...