Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled … oflow probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulationoverpredicts the VaR …. However, the estimates obtained from applying the semi-parametric method aremore accurate in the VaR prediction. In addition …

idiosyncratic part, and a second independent factor. We show that the fat-tailed-based downside risk, measured as value-at-risk (VaR …), should decline more rapidly than the normal-based VaR. This result is confirmed empirically. …

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR …