We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

overall equity market returns and volatility. The risk associated with investment decisions is measured by the exponential … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

. These RV budgets provide insight into the risk concentration of a portfolio. Furthermore, the RV budgets can be directly … used in a portfolio strategy, called the equal-risk-contribution allocation strategy. This yields both a higher average …

ambiguity. We show that in such contexts robust estimation methods are essential for (i) limiting the sensitivity of robust … robust estimation methodology, applicable to many economic settings of ambiguity. In the robust portfolio problem, unknown … our robust approach. Time-varying features can also produce large biases in estimated equilibrium risk or ambiguity premia …

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio … ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk … (VaR) or expected shortfall (ES) as risk measures. Often the latter is preferred as it deals better with risk in sub …

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non … immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains …. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …