In this paper, we study the worst-case distortion risk measure when information about distortion functions is partially … independent of the risk to be measured and the corresponding worst-case distortion risk measure is a combination of several VaR … distortion functions is defined by the riskiness of one single risk, the explicit form of the worst-case distortion function is …

In this paper, we study the worst-case distortion risk measure when information about distortion functions is partially … independent of the risk to be measured and the corresponding worst-case distortion risk measure is a combination of several VaR … distortion functions is defined by the riskiness of one single risk, the explicit form of the worst-case distortion function is …

We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process …. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions … after receiving outcome information on previous decisions. We find that in all decisions risk taking can be predicted by …

choices being observed, compared to anonymity of choices, on risk taking in a laboratory experiment. I relate participants …' investments in a risky asset directly to social norms for risk taking that are elicited in an incentivized procedure. I find that … risk taking is not affected by the choice being observed by a matched participant. Nor do investments follow elicited norms …

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

subtle incentive distortion. In some cases, local risk aversion is induced which discourages the agent from risk taking in … important elements of incentive design to contain the long-term portfolio risk …

We study a robo-advising framework that allows for interactions with a client who has time-varying risk preferences … using an average of measured risk aversions both lead to more personalised investment advice …

We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for … multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the …