This paper studies a portfolio choice problem such that the pricing rule may incorporate transaction costs and the risk … good deals will be available to traders, i.e., depending on the selected risk measure, investors can build portfolios whose … (risk, return) will be as close as desired to (- infinite, + infinite) or (0, infinite). This pathologic property still …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …

both long/short hedgers. The hedger can do two things for minimizing the risk namely first being either can square off the … position at the time where he can face minimum risk or can gain profit as bonus if he has no margin left in respect of time i …/sell another far month contract for minimizing the risk, according to the movement of Basis and market. …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and …

denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices … management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking … regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the …

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is … the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva … contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined … the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is … often quite expensive, we study partial hedges which require less capital and reduce the risk. In a previous paper we … minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and …