. The relationship between risk and return in the long and short term was explored. Results indicated no significant … relationship between the risk and return of the stock portfolio in the short run, which reflects the complexity of the Chinese … stock market. However, in the long run, the risk and return of the stock portfolios are positively correlated, which means …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation …. Empirical research in risk management showed that the static "mean-variance" methodology in portfolio optimization is very … constraints on risk measure. Hence, risk measure dynamic estimation is used in risk controlling. By risk control manager makes …