homogeneous goods market with non-lumpy investments. In our model, inefficient entry decisions are the result of risk-aversion of … incumbent producers and consumers, combined with incomplete financial markets which limit risk-sharing between market actors …. Investments in productive assets affect the distribution of equilibrium prices and quantities, and create risk spillovers. From a …

investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is jointly affected … by its own investment strategy and the investment strategies of its industry peers, such that the dynamics of its …

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear …

The purpose of the transparency on the risk profile of non-equity investment products is to allow investors to take … informed investment decisions. In an international framework characterized by an increasing globalization of markets and a … immediately comprehensible to investors and defined in relation to robust and objective quantitative metrics. The result is a risk …

Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity …, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and … risk management features. In this paper, we show that these portfolio construction methodologies are special cases of a …

Risk-based investment solutions are seen as incorporating no views. In this article, we propose an analytical framework … that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a … Black-Litterman approach, we derive closed-form formulas for the weights of the active risk-based portfolio, and identify …

valuations? And if countercyclical investment (with both market-stabilizing and return-generating properties) is a public and …-agent frictions; (iv) calibrate risk management to minimize long-term shortfall risk (not short-term price volatility); and (v) ensure …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

to risk trade-offs, we show that costly delegation of investment decisions is a strategy used to cope with 'anxiety …Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent - one who … is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features …