straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving … little error margin in comparing market risk for different financial funds. As such, it should be a tool of preference for …, like short-term Efficient-Market-Hypothesis, EMH. In addition, the model includes a new measure of risk: a liquidity …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively … homogeneous risk measure ρ on L1. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is … as the worst-case risk measure.After providing a primal characterization, we focus our attention on coherent risk …

In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk …-Shapley allocation. The representation covers BSDE-based dynamic convex and dynamic coherent risk measures. The results are applied to … derive a representation for the dynamic entropic risk measure. Our result are also applicable in a specific way to the static …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option … and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or ….e., higher risk for owning the assets; and (2) assets having higher up move have higher c-index, i.e., higher risk for short …