We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation … return distribution has the slowest rate of convergence to normality among groups of assets. Estimation errors of the … imprecisions persist over the investment horizons, the estimation errors of the monthly return have a strong effect on the …

equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns …. We place special emphasis on downside risk by calculating both nonparametric and parametric value at risk. We find that … when all 52 markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …In the present work, I derive the risk functions of 5 standard estimators for expected asset returns which are …-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant … manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk …, which tail risk protection strategies were considered in the literature, their effectiveness and associated costs. We also …