assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve … quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially … explored risks or risk takers in a wide variety of empirical contexts. …

calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic …

believe our work will open up a new risk investing paradigm for those seeking long-term advantages. …

reveals that the relaxed risk parity model exhibits advantageous traits of robustness to expected returns, which should not …This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …