Every structure has natural frequencies. Minor shocks in these frequencies can bring down any structure, e.g. a bridge. An Investment Universe also has natural frequencies, characterized by its eigenvectors. A concentration of risks in the direction of any such eigenvector exposes a portfolio to...

In this paper, we study the worst-case distortion risk measure when information about distortion functions is partially available. We obtain the explicit forms of the worst-case distortion functions from several different sets of plausible distortion functions. When there is no concavity...

We highlight important and specific characteristics of default risk and methodological implications. In a simulation contrasting independent, Gaussian and Clayton copulas, we also show that joint default probabilities might be a hidden source of risk in conventional portfolio models of default

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 growing integration of banking, asset management and...

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable events, inducing income volatility and adding considerable complexity to farmers’ decisions. The literature suggests that these events could affect farmers’ risk aversion in...

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In...

On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk...

The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...