Abstract We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial...

The main idea of this paper is to introduce Tradeable Measures of Risk as an objective and model independent way of measuring risk. The present methods of risk measurement, such as the standard Value-at-Risk supported by BASEL II, are based on subjective assumptions of future returns. Therefore...

The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE...

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a representation theorem for dynamic risk measures and...

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a representation theorem for dynamic risk measures and...