The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk measure (UrM) which explicitly embeds relative valuation of any two assets. The formal theory shows the UrM is, in relation to either of conditional volatility (CoV) or...

In this paper, we study an optimal investment problem under joint initial-time and intermediate-time Value-at-Risk regulations and a portfolio insurance (PI) constraint on terminal wealth faced by a defined-contribution pension fund manager. The objective is to maximize the expected utility from...

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years. It considerably changes portfolio...

We incorporate tail risk in a Bayesian learning framework with information frictions and study how individuals' expectations respond to first and second moment shocks. In our model, we retain "rational news" through Bayesian learning and abstract from any behavioral biases. First, we show that...