This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a … liquidity provider and the so called impermanent (unrealized) loss in particular. We provide a corrected version of the commonly … denoted impermanent loss function for Uniswap v2 on the semi-infinite domain. The differences between Uniswap v2 and v3 are …

probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key …

We show that the value of risk reduction changes rapidly when loss is high, due to interactions between skewness of … probability of loss (p) <<< and K(x¯) <(>), risk seeking (risk averse), imprudent (prudent), and intemperate (temperate) agents … wealth () and kurtosis risk aversion (K(x¯)), increasing ambiguity in model predictions. However, when the initial …

. Our findings suggest that investors have a risk-averse propensity for highly illiquid assets in unrealized loss areas and …The disposition effect occurs when investors hold unrealized loss assets for too long and sell unrealized profit assets … too quickly. However, some studies argue that investors tend to be risk-averse in the area of unrealized capital losses …