The article presents an analysis and survey regarding the validity of VaR risk measures in comparison to traditional risk measures. Individuals are assumed to either maximize their expected utility or possess a lexicographic utility function. The analysis is carried out for generally distributed...

Purpose: This paper aims to forgo the conventional (degree of operating leverage) risk measure by replacing elasticity of operating profits with respect to output with elasticity of free cash flow (FCF) with respect to optimal output and by considering exogenous random demand shocks for the...

A portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing...

Purpose – The purpose of this paper is to develop alternative analytical measures for the degree of operating leverage ( DOL ) that reflect the impact of uncertain demand shocks in the product's market on optimal production levels, sales and profits of the firm. Design/methodology/approach –...