The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the … special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a … representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic …

stocks. The analysis leads to the conclusion that the risk entailed in stock investment is reduced relative to the yield as …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

strategy can be reinterpreted as a two-fund strategy in the growth optimum portfolio and the risk-free asset. …

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … increase risk. This finding is of relevance not only for investors, but even more so for bank regulation authorities. …

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …