In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …

ermöglicht die Anwendung von Copulas in zahlreichen Bereichen der Finanzwirtschaft, vom Risikomanagement über die Bewertung von …

stationary. Multi-dimensional optimization problem is formulated in terms of risk-sensitivity matrix (RSM), allocation & yield … VcV matrix and RSM, which is specified by risk budgeting & duration management. So, optimal allocation is conditional on … RSM, i.e. on risk & portfolio management strategies. Instantly efficient portfolio derived from static one …

: the effective risk banks accept to take by providing the offers, specific risks in financing this sector, the problem of … the balance between risk and profit return (or market share increase). …

additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may … induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity …

This paper investigates whether the risk faced by rural farmers in Zimbabwe could poten- tially be managed by using …’ investment portfolio thereby potentially diversifying and consequently reducing the risk they face. Such investment could also …