We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the … distribution, respectively their joint risk. Statistical analyses state, this model quantifies the distribution tails very … accurately, resulting precise VaR estimates. We also construct minimum-risk portfolios on basis of the volatility forecasts. The …

scrupulous analysis yields that investors care more for downside risk rather than variance. Overwhelming evidence especially in … emerging markets is present world-wide. Stochastic Dominance is a powerful tool to measure downside risk. Lower Partial Moment …

-normally and normally distributed. A closed expression is achieved for investors with constant absolute risk aversion (CARA) …

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the … fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is …

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk …

(CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the …An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation … aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at- Risk (VaR) risk …