bear markets and crashes. Thus, it was indeed a good measure of the hedge against market risk. This plain beta also …-beta. Stocks with higher ex-ante down-betas did not earn a positive risk premium. We conclude that ex-ante down-betas were neither … useful hedging nor useful risk-pricing measures …

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations … the papers address to coherent or convex risk measures satisfying cash-additivity. In the present work we study time …-consistency for more general dynamic risk measures where either only cash-invariance or both cash-invariance and convexity are dropped …

capital increase is needed. We introduce the scalarized utility-based multi-asset (SUBMA) risk measure which optimizes the … risk measure is coherent if the utility function has constant relative risk aversion and the capital adequacy test leads to … a coherent acceptance set. In a one-period financial market model we present a sufficient condition for the SUBMA risk …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on … the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … price follows specific processes, spectral risk becomes negative at long periods. We generalize this result for arbitrary …

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …

, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the … investors. The goal of this paper is to conduct a survey of the various climate risk measures that are available in the asset … lists the different climate risk metrics -- e.g., carbon footprint, carbon transition pathway, carbon transition and …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …