hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium dynamic … opponent’s risk attitude. Hence, client investors, concerned about how a strategic manager may trade on their behalf, should …

tractable dynamic continuous-time model of competition between two risk-averse managers concerned about relative performance. To …, and provide the ensuing equilibrium portfolio policies explicitly. We find that competition makes a relatively risk … tolerant manager decrease, and a risk intolerant increase, her portfolio risk. Moreover, a higher own risk aversion induces a …

, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider …

is shown to alleviate the effects of these restrictions and improve the transfer of risk amongst investors. When the …

therefore adopt risk management practices to account for the benchmark performance. We capture this risk management … practice. In a dynamic setting, we demonstrate how a risk averse portfolio manager optimally under- or overperforms a target … benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark. The analysis …

under various stochastic investment opportunities in a straightforward way, which does not involve solving a Hamilton …

-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. The …