portfolio returns on market returns to measure risk produces risk measures that are not credible. Institutional investors … portfolio returns to market returns. Examples for venture capital and buyout portfolios show that the true risk measures are … alternative approach to measuring risk directly which explicitly addresses the staleness of reported values for venture capital …

competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in …, analyze the effect of corporate reputation on stock return and risk. A model based on firms' financial market data was … reputation on return and risk, being the impact on the risk an area still little explored and with controversial results; thirdly …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …

Analytic solutions to Risk Parity, Maximum Diversification, and Minimum Variance portfolios provide useful perspectives … Diversification and Minimum Variance portfolios. On the other hand, all investable assets are included in Risk Parity portfolios, and … about their construction and composition. Individual asset weights depend on both systematic and idiosyncratic risk in all …

. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the …Striving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio … uncorrelated risk sources embedded in the underlying portfolio assets. Our paper characterizes the mechanics and properties of this …

We investigate the out-of-sample diversification benefits of risk parity portfolios by analyzing the properties an … superior risk-adjusted return over multiple financial cycles than most other popular weighting strategies while yielding a … weighting strategies and adding a negative risk premium asset can substantially deteriorate its risk-return profile …

. This allows a large scope of models on the dependency. We assess the Value-at-Risk of a diversified portfolio constructed … from dependent risk factors. Moreover, we examine the diversification effects under this setup …In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value Theory …

diversification based on marginal contributions to risk. We present two case studies, a security-based investment in the stocks of the …We measure the contributions to risk of a set of factors, strategies, or investments, based on "Minimum-Torsion Bets …", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. We then …

investment diversification on financial performance of 17 Ethiopian Commercial Banks covering the period of 2013 … diversification positively affects the financial performance of commercial banks in Ethiopia. Therefore, banks should focus its work … to promote the confidence in portfolio diversification, develop marketing policies that encourage its use and establish …