This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in … three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new … risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the …

problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the … two-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the … the risk-free rate. Finally, we implement the trading strategy of a QLA investor who reallocates her portfolio on a …