In this paper we develop an asset allocation model which allocates assets by maximising expected return subject to the constraint that the expected maximum loss should meet the Value-at-Risk limits set by the risk manager. Similar to the mean-variance approach a performance index like the Sharpe...

To ensure a competent regulatory framework with respect to Value-at-Risk for establishing Bank's capital adequacy requirements, as promoted by the Basle Committee, then the parametrical approach to estimate VaR needs to incorporate fat tails, apparent in the return distributions of financial...

It is widely known that the small but looming possibility of defaultrenders the expected return distribution for financial productscontaining credit risk to be highly skewed and fat tailed. In thispaper we apply recent techniques developed for incorporating theadditional risk faced by changes in...

This paper examines how variation in mood influences subjective risk and hence auction prices for art in London during the period 1990–2007. The private value of an object is closely related to taste and mood which is proxied for by the variation in weather. Using a unique data set that...

We study the role of experience in internet art auctions by analyzing repeated bidding by the same bidder in a unique longitudinal field dataset. Our results show that experience significantly lowers the level of bids suggesting that bidders change their bidding behavior throughout time....

Irving Fisher was the first economist to posit what has come to be known as uncovered interest parity relation. He was also the first to offer a peso-problem type explanation for important episodes in which it was violated. After reviewing his theoretical and empirical work on this subject, we...

100 years ago this year, Irving Fisher adhered to 'price movements being imperfectly foreseen' resulting in short term deviations from UIP, which in the longer term are averaged away. In this paper, we first review Irving Fisher's seminal work on UIP and on the closely related equation linking...