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Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom which, roughly speaking, asserts...
Persistent link: https://www.econbiz.de/10010318897
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10010281514
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10014123486
Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its 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...
Persistent link: https://www.econbiz.de/10013003836
Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to passive investing. I introduce an asset allocation strategy which shifts portfolio weights based on simplistic stop rules. The two-asset (S&P...
Persistent link: https://www.econbiz.de/10013007428
To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...
Persistent link: https://www.econbiz.de/10012972233
This paper presents general approach to description of business cycles aggregate fluctuations of economic and financial variables. We model economics as ensemble of agents on economic space and agent's risk ratings play role of their coordinates. Aggregation of variables of agents with...
Persistent link: https://www.econbiz.de/10012948584
From an empirical perspective, the stochasticity of volatility is manifest, yet there have been relatively few attempts to reconcile this fact with Merton's theory of optimal portfolio selection for wealth maximising agents. In this paper we present a systematic analysis of optimal asset...
Persistent link: https://www.econbiz.de/10013022675
Covariance models of stock returns appear throughout the investment process, e.g., forecasting portfolio risk, hedging, constructing Markowitz return-risk optimal portfolios, and algorithmic trading. Typically built from historic time-series, they estimate the past but - because markets and...
Persistent link: https://www.econbiz.de/10013032372
In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters. Recently, Tsetlin, et al. (2015) develop the theory of...
Persistent link: https://www.econbiz.de/10013032513