which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio … insurance under hedging constraints. Investors are assumed to maximize their expected utilities defined on financial and … environmental asset values. The optimal investment is determined for quite general utility functions and hedging constraints. In …

Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly … show that aggregate market risk varies strongly over time and is positively correlated with the market return variance …. Cross-sections of market risk are highly unstable, whereas ranks of individual vehicles within yearly subsamples change …

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …-compatibility constraint on risk, which we characterize. We distinguish between one period and several periods. In the former case, under mild …

In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We …

the fund company to use its judgment to maximize risk-adjusted fund returns. A fund company, however, in its desire to …

by the covered banking entities. Risk is transferring to less regulated financial institutions as new hedge funds are … opened. The risk can have a profound impact on the retirement community through underfunded pension funds searching for …

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … results clearly state that market risk may be substantially underestimated by those models which assume Normality or, even … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …