analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

Interconnectedness is an alternative risk concept that so far has earned little attention in the asset management … academia and industry. In this paper, we show that this neglect is not justified, as interconnectedness risk (i) has only … interconnectedness information outperform their conventional peers. Utilizing a multi asset dataset, we measure interconnectedness risk …

market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative … component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of Föllmer and …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … model risk for the original market. If the market can not be completed, as it is the case in most market models that allow … for jumps, we derive measures that are applicable in a more general setup. In a case study we measure the model risk that …

by an unobservable continuous-time finite state Markov chain. Using the classical stochastic filtering theory, we reduce …

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

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …

uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …