We highlight the loss-averse property of general investors and propose a new ranking criterion, conditional stochastic dominance (CSD), at the first two orders. We discuss the definitions and propositions. We also introduce an example to show that CSD provides intuitive ranking but not the...

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments...

This study contributes to re-examining gold as a safe haven asset in 16 international markets, and compares its function with government bonds over the past 20 years. The extremal quantile regression model by Chernozhukov (2005) and Chernozhukov and Fernandez-Val (2011) is applied. The empirical...

This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...