A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both …

closed-form solution for the case where informed agents are risk neutral and the market maker is risk averse. Market …. Thus, liquidity risk is an endogenous parameter determined in equilibrium. Expected market liquidity, liquidity risk, and … the factor. We show that expected market liquidity is lower and liquidity risk is higher when the ex ante volatility of …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

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

of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the …-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices …

diversification in different asset classes across dissimilar markets or imposing risk budgets on individual assets and/or asset … classes or enforcing capital budgets and other investor preferential constraints modeling their risk appetites and allocation … index, in the face of risk budgeting and other investor specific constraints. Adopting Diversification Ratio for its …

'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 …

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic … optimal investment strategies to risk aversion, default risk and volatility …