Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class …, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricing …

Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popular due to its …

framework is routinely applied when the condition fails, giving rise to inaccurate risk assessments and suboptimal hedging … superior performance is demonstrated from a theoretical standpoint and by applying them to hedging the price risk of oil and … natural gas. Simple yet general, the new framework is well suited to replace the classical one and facilitates adequate risk …

classical framework is routinely applied when the condition fails, giving rise to inaccurate risk assessments and suboptimal …. Their superior performance is demonstrated from a theoretical standpoint and by applying them to hedging the price risk of … adequate risk measurement and improved hedging decisions. It also provides fundamental insight into dealing with uncertainty …

Farinelli and Tibiletti (2008) propose a general risk-reward performance measurement ratio. Due to its simplicity and …

This paper extends the theory between Kappa ratio and stochastic dominance (SD) and risk-seeking SD (RSD) by … establishing several relationships between first- and higher-order risk measures and (higher-order) SD and RSD. We first show the …

with bounded rationality, uninsured idiosyncratic risk, and redistributive effects of transfers. Finally, I use these … considered an effective policy option when both monetary and fiscal policies are constrained, e.g., during liquidity trap …

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage … case of constant trade volumes. We derive the dependence of market-based price volatility on the volatilities and … Gaussian approximations, and even the forecasts of market-based price volatility will be inaccurate and highly uncertain. …

violated expected utility theory. Ross (1999) and others presented examples where expected utility maximizers would accept …