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

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this …Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with …

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …

This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with … dual utility preferences. We find that Pareto optimal risk redistributions and the competitive equilibria can be obtained … agent of dual utility maximizers. The representative agent of expected utility maximizers resembles an average risk …

Downside and deviation risk measures are becoming more and more important in many disciplines with clear interfaces … applications (risk management, portfolio selection, pricing and hedging, etc.), but, to the best of our knowledge, bidual … linearize many problems will be proved, with special focus on risk optimization. This is important because there are very …

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 …

We provide empirical evidence that visceral factors affect financial risk taking by showing that exposure to mass … shootings alters mutual fund managers' risk taking decisions. Funds that are exposed to mass shootings subsequently decrease … risk relative to their peers. The effect that we document is temporary, lasting approximately one quarter before reverting …