We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity … remain at risk parity. Second, agnostic (cautious) views always result in a more diversified allocation. We further extend … this framework to arbitrary initial risk budgets, and suggest an alternative to the Black-Litterman methodology …

Risk (CDaR) to determine time-varying asset allocations. In addition to infrastructure, the asset menu comprises large and … is allocated predominantly to portfolios that exhibit low-to-medium risk exposure. We cannot find any evidence that … reference point for evaluating portfolio risk and performance. We also find that infrastructure is a hedge against systematic …

Volatility is the most widely-used measure of risk but its relevance is questionable in many settings. For long …. Hence, their higher volatility essentially is higher upside risk; that is, uncertainty about how much better, not how much …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

The risk parity optimization problem produces portfolios where each asset contributes an equal amount to the overall … portfolio risk. While most work has investigated the problem using all assets, minimal work has investigated the cardinality … formulations at producing portfolios with equal risk contributions of chosen cardinality size. Specifically, the convex formulation …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of … with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting …

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency …. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking … Supervision. In contrast to the standard market risk measure based on a ten-day value-at-risk calculated at 99% confidence, the …