Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been … approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk … measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the …

Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been … approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk … measure. The general lesson is that users of spectral risk measures must be careful to select utility functions that fit the …

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more … Risk Measures (SRMs). We use Extreme Value Theory (EVT) to model the tail returns and present results for these three … efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of extreme …

risk aversion, hedging horizon and expected returns. Empirical results reveal substantial hedge ratio variation across … to be strongly dependent on underlying preferences. In particular, hedgers with high risk aversion and short horizon … reduce hedge portfolio risk but achieve inferior utility in comparison to those with low aversion …

We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of … stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also … dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and …

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures … for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust …