Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more … efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of extreme … agricultural financial risk for corn and soybean production in the US: Value at Risk (VaR), Expected Shortfall (ES) and Spectral …

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures …

assessment combines tail-risk measures with more typical risk-adjusted returns after accounting for transaction costs. When … allocating across asset classes, we provide strong evidence that minimum-variance portfolios provide better risk-adjusted returns … and reduced tail risk. In contrast, when allocating within asset classes, only limited support for outperformance is found …

benchmarks in terms of risk minimization. These effects are amplified for investors with an increased sensitivity to risk …-adjusted returns, during high volatility periods or when accounting for tail risk …