reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

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 …

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 …

Interconnectedness is an alternative risk concept that so far has earned little attention in the asset management … academia and industry. In this paper, we show that this neglect is not justified, as interconnectedness risk (i) has only … interconnectedness information outperform their conventional peers. Utilizing a multi asset dataset, we measure interconnectedness risk …

, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of … with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … model risk for the original market. If the market can not be completed, as it is the case in most market models that allow … for jumps, we derive measures that are applicable in a more general setup. In a case study we measure the model risk that …

portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …