Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An emerging consensus is that the betas are time-dependent and their estimates are impacted by the return interval and the length of the estimation period. These findings lead to...

In this paper, following the notion of probabilistic risk adjusted performance measures, we introduce that of fuzzy risk adjusted performance measures (FRAPM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their...

This paper generalizes the [Delta]-VaR and [Delta]-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture...