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Can unpredictable risk exposure be priced?

Barahona, Ricardo; Driessen, Joost; Frehen, Rik - In: Journal of financial economics 139 (2021) 2, pp. 522-544

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Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

Ñíguez, Trino-Manuel; Payá, Ivan; Peel, David; … - 2015

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Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times

Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41

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Default risk and cross section of returns

Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

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Proper conditioning for coherent VaR in portfolio management

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Recent developments in financial modelling and risk management

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Applying Particle Swarm Optimization : New Solutions and Cases for Optimized Portfolios

Adıgüzel Mercangöz, Burcu (ed.) - 2021 - 1st ed. 2021.

Part I: Applying Particle Swarm Optimization to Portfolio Optimization -- 1. Utility: Theories and Models -- 2. Portfolio Optimization -- 3. Behavioral Portfolio Theory -- 4. A Comparative Study on PSO with Other Metaheuristic Methods -- 5. Mathematical Model of Particle Swarm Optimization:...