parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between … results, based on (i) raw and risk-adjusted portfolio returns, (ii) characteristic sorted portfolio returns, and (iii) cross …

exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three …

the risk of illiquid asset classes so that private and illiquid assets can be reasonably compared with public and liquid …

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …