The last five years have witnessed a great momentum in the research into measures of financial risk. After many years of ad-hoc and non-consistent measures, now the problem is finally well formulated and some useful and very user-friendly solutions have been proposed. These new measures of risk...

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a smooth, multivariate utility function, allowing for simultaneous consumption of any prescribed selection...

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...

During the last decade, hedge funds have become an increasingly attractive class of assets, viewed as investments offering greater returns while risk is reduced through extensive diversification. Hedge funds have indeed grown exponentially in size, number and management style. The goal of this...

This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal distributions is estimated for a core asset; one distribution being identified as linked to a "quiet" regime and the other to a "hectic" regime. The conditional probabilities of each...