Purpose – The purpose of this article is to introduce a new method of estimating risk as an alternative to value at risk (VaR), drawing on the risk assessment literature in environmental science. Design/methodology/approach – A commonly used and accepted measure of market risk is VaR,...

Purpose – The purpose of this article is to introduce a new method of estimating risk as an alternative to value at risk (VaR), drawing on the risk assessment literature in environmental science. Design/methodology/approach – A commonly used and accepted measure of market risk is VaR,...

Purpose – The purpose of this paper is to provide a quantitative methodology based on information‐gap decision theory for dealing with (true) Knightian uncertainty in the management of portfolios of assets with uncertain returns. Design/methodology/approach – Portfolio managers aim to...