Estimation of volatility is important for many financial applications. The most common methods are based on a time … volatility and is a natural fit for high frequency traders who continuously monitor price series …

. Intuitively, given the extreme volatility and thus risk of Bitcoin and cryptocurrencies, the idea that Bitcoin is a hedge may be … puzzling. Indeed, we show that for extreme levels of volatility, Bitcoin does not reduce the risk if added to a benchmark …A large literature tests whether Bitcoin can hedge portfolio risk, i.e. reduce the risk if added to a portfolio …

variables. We model economics as ensemble of agents on economic space and agent's risk ratings play role of their coordinates …-like equations define fluctuations of aggregate variables. Repeated motion of agents from low risk to high risk area and back define … risk, mean square risk and higher statistical moments. Fluctuations of statistical moments describe phases of financial and …

The topic of risk incorporates a variety of definitions within different fields such as psychology, sociology, finance …, and engineering. In academic finance, the analysis of risk has two major perspectives known as standard (traditional …) finance and behavioral finance. The central focus of standard finance proponents is based on the objective aspects of risk …

This paper studies the performance of the portfolios based on the Hierarchical Equal Risk Contribution algorithm in … China stock market. Specifically, we consider a variety of risk measures for calculating weight allocations which include … equal weighting, variance, standard deviation, expected shortfall and conditional draw-down risk and four types of linkage …

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To … get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed …. It then explains challenges of systemic risk and solutions on an institutional level before the consequences for micro …

justification for assessing stocks' risk as a function of the investment horizon. He concludes that stocks' risk increases … appear to hinge on his proof that stocks' risk increases with the investment horizon. But Bodie's methodology also can be … used to prove that any asset class's risk increases with the investment horizon. Thus, if Bodie's methodology is accepted …

This chapter provides an overview of the research literature and the important issues regarding risk perception and … risk tolerance. The academic literature reveals that various disciplines provide an assortment of perspectives in terms of … how to define, describe, and analyze risk. The behavioral finance perspective encompasses the subjective and objective …

prudent investment strategy that reduces risk avoiding market timing. But this idea has many opponents, that strongly support … downside risk (without forgetting profitability) of these two popular strategies …