Many analyses of risk taking behavior assume that an agent faces only a single risk. Typically, however, an agent faces … many risks simultaneously, and the interaction between risks may well affect how much of any particular risk an agent … should bear. Ross (1981) and Kihlstrom, Romer, and Williams (1981) showed that the comparative statics of increased risk …

suppresses final wealth uncertainty but creates a time horizon risk. I begin with a simple mean variance model transposed in the … long-term US return data, I show in the mean variance model that a large amount of time horizon risk can be diversified … timing risk and invest less in equities. The equity share is downward trending as accumulated wealth approaches its target …

We formulate a robust theory of liquidity and risk management based on two fundamental frictions: 1) the entrepreneur … significant distortions for risk-sharing, corporate investment, and consumption. With regard to concern for ambiguity aversion …, the impacts of ambiguity on risk hedging is ambiguous due to the interactions between robustness and limited commitment …

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even …

The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The … custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical … as the instrument for realistic estimation of risk. The proposed model allows for modifying a rule for volatility …

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …

This paper employs contingent claims analysis to decompose the firm's systematic risk into the risk as- sociated with … its assets in place and the risk arising from future growth opportunities. 5 Contingent claims analysis is well-suited to … by the firm's growth opportunities, the higher the stock risk. Overall, our empirical results strongly support this …