paradigmassumes that any investment strategy has its own “inherent reward”and “inherent risk” that can be judged with common sense …. Ijustify axiomatically the existence and uniqueness (ratio scale)of inherent reward (U) and inherent risk (D) that could … beregarded as universal measures of reward and risk for any giveninvestment strategy. Incorporating the notion of …

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …

management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging … case that a bearish market is supposed, minimizing the variance of the hedge seems not to obtain better hedging results …, due to a very skewed return distribution of the hedge. The risk measure target-shortfall probability confirms the use of …

function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists …

This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts … noise, cross hedging and speculating on the real risk premium are conflicting objectives; the level of relative risk … in the presence of untradable inflation risk. Utility is defined over real wealth. Optimal forward positions are derived …

the problem is described by an BSDE. For a totally unhedgeable price for instan- taneous risk, isoelastic utility of … terminal wealth can be maximized using a portfolio consisting of the locally risk-free bond and a lo- cally efficient fund only …

In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to … the Hedging Numeraire to equal the Market Portfolio and find the mean-variance efficient portfolios. …