Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk which is compound by the firms financial risk. Financial risk is a function of the firms capital structure. In the short run it is difficult for the producer to...

The generalized Capital Asset Pricing Model based on mixed CVaR deviation is used for calibrating risk preferences of investors protecting investments in S&P500 by means of options. The corresponding new generalized beta is designed to capture tail performance of S&P500 returns. Calibration is...

This article studies formal optimal decision approaches for a multi‐period asset/liability management model for a pension fund. The authors use Conditional Value‐at‐Risk (CVaR) as a risk measure, the weighted average of the Value‐at‐Risk (VaR) and those losses exceeding VaR. The model...