One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using … a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR … prove patterns of relation between risk and liquidity, both in individual stock levels and portfolios. This study also … clarified that diversifying portfolio stocks have yet toachieve risk reduction …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … trading is not executed at the mid-price. Traditional VaR measures cover only the risk of the changing mid-price, they ignore … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate …

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using … pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study … clarified that stock portfolio diversification yet achieve risk reduction …

hedging derivatives and coherent risk measures. There may exist portfolios (good deals) whose (return; risk) is as close as … can build a new one with identical price, higher return and lower risk. Perhaps dynamic arbitrage free pricing models … selected pricing models satisfy the existence of risk neutral probabilities such that self- nancing price processes become …