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 …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic … the stock-fraction due to vanishing volatility. Main modifications for the usual constant relative risk aversion (CRRA …

-)cyclical equity premium. We calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data … levels of risk aversion. We find that this simple modification of a Lucas-tree model accounts for a large part of the …