The paper analyzes the sensitivity of the downside risk of a standard derivatives portfolio to a change in the mean …-reversion effect is a natural way to reduce the downside risk of the widely traded assets, without involving costly and restrictive …

Frequently, dynamic hedging strategies minimizing risk exposure are not given in closed form, but need to be … approximated numerically. This makes it difficult to estimate residual hedging risk, also called basis risk, when only imperfect … algorithm to estimate residual hedging risk. The algorithm approximates the variance minimal hedging strategy within general …

We analyze the sensitivity of the downside risk of a standard derivatives' portfolio to a change of the mean … a natural way to reduce the downside risk of those widely traded assets without costly and restrictive managerial …

We estimate a generalized version of the Long-Run Risk model in a panel of developed and developing countries using …. Our estimations provide further evidence in support of the Long-Run Risk model and in the existence of a common small …

the US business cycle and distinct sources of uncertainty we benefit from simulation-based evidence to point at two most … suitable identification schemes. We detect a unidirectional effect of financial uncertainty on real economic activity and … mutual causality between macroeconomic uncertainty and business cycles …