We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions that generalise the classical Euler contributions and...

Choosing the appropriate risk criterion has always been one of the main challenges for financial and economic analysts. The goal of this research is to optimize the average portfolio using a multi-layer neural network. In this research, a new model of multilayer neural network has been...

Average Value-at-Risk (AVaR) is a potential alternative to Value-at-Risk in the financial regulation of banking and insurance institutions. To understand how AVaR influences a company's investment behavior, we study portfolio optimization under the AVaR constraint. Our main contribution is to...

This paper constructs Tail Risk-Managed (TRM) portfolios in real time, where the scaling of exposures to factors is determined by forecasts of probabilities of VaR violations. Using a set of US Fama-French factors and a set of International equity portfolios, we show that TRM portfolios achieve...

In modern frameworks for financial regulation such as Basel III, IV as well as Solvency II, financial institutions are regulated to maintain a certain level of capital to prepare for potential future losses. In this paper, we take the perspective of a regulator who designs regulatory capital...

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides...

Investors are becoming more sensitive about returns and losses, especially when the investments are exposed to downside risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very widely applied to construct a portfolio and evaluate...

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external capital which has to be raised into multiple...