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 …

We investigate the impact of shrinkage estimation techniques for the moments of asset returns on risk-parity portfolios …. In contrast to mean-variance portfolios, the risk contributions of individual assets in risk-parity portfolios are fixed … a priori. This additional restriction stabilizes empirical portfolio weights in time. We show that the marginal risk …

-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are … situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …

-diversifiable risk. In the context of normally distributed asset returns, its estimator and finite-sample properties are explored when …

Investors often adopt mean-variance efficient portfolios for achieving superior risk-adjusted returns. However, such …

At its core, portfolio and risk management is about gathering and processing market-related data in order to make … effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as … calculate conditional risk and return statistics in a simple manner for a wide range of portfolio and risk management …