can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

(2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states … systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

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 …

main aim is to minimize this shortfall risk by making use of results from bsde theory. … possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our …

paperinclude prospect theory, the Allais paradox, the computation ofinherent reward and risk, the mean-variance CAPM, and … 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 …