risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected … increase of return to compensate the higher risk. The quantification of risk in the capital market represents the current topic … assets. Three main Value at Risk (VaR) methodologies are decribed and explained in detail: historical method, parametric …

measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we … sample covariance matrix in order to reduce model risk. …