preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable … these events could affect farmers’ risk aversion in decision making and justify their preferences for risk minimizing and … of polynomials and exponential (or “polynex”) functions to simulate risk aversion for specific traits of the E-V frontier …

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …

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 …

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 …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

Fama-French portfolios for the US markets and report that the risk factors cannot definitively identify assets with higher … average returns though they may help in identifying those with lower average risk. Further, using both Fama-French portfolios …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

We investigate portfolio diversification strategies based on hierarchical clustering. These hierarchical risk parity … strategies use graph theory and unsupervised machine learning to build diversified portfolios by acknowledging the hierarchical … lower tail dependence coefficient. Such innovation is expected to achieve better tail risk management in the context of …

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 …