Analytical portfolio risk calculations can be derived and computed in matrix form. Since the inputs are linear asset … number. Marginal Contributions and Expected Shortfall provide more insight about concentration of risk vs. diversification …

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 …

A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …

represented by the expected utility with uncertainty (EUUP) theory advocated by Izhakian (2017). The economic premium principle of …

Under conditions of radical uncertainty, risk sharing renders financial systems anti-fragile. Our goal in this paper is … to show that risk-sharing Islamic finance (RSIF) shares the characteristics defined by Taleb for an anti-fragile system …, by mapping some characteristics of anti-fragility onto those of risk-sharing Islamic finance. A key insight around which …

I present a theory of financial contracts that transfer risk from one party to another. Risk reduction is equivalent to …. Adding outside noise is the inverse operation and it increases risk, while noise in the sense of a mean-preserving spread is … hedges and insurance contracts, describe the sharing of risk in equilibrium models of financial markets, and characterize …

portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD … for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters …. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss …

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not … only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only … risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of …

I analyze a firm making a decision of whether to expose itself to risk in an exogenous parameter when the firm can … campaign. I show that in many cases the firm wants to expose itself to risk and I outline general conditions that need to be … characterization, and show that in many cases both firms want to expose themselves to risk, as long as the risks are not too positively …