additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may … induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity …

Pythagorean theorem are used to make a connection between the active risk/return and the total risk/return framework. Structural … positions alter the risk profile of the portfolio substantially, and the appeal of active management - to provide active returns … asset allocation should be based on the comparison of expected excess returns of an asset class to the equilibrium risk …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ?average? models and its exact …

verloren. Damit rücken wieder verstärkt Anlagestrategien in den Vordergrund, die das Risiko der Anlagealternativen gebührend …

On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason … order (a) to demonstrate the comparatively high overall risk exposition of a typical farm, (b) to show that an inflow of … working capital could contribute to risk reduction, and (c) to illustrate short-term risk management strategies. Although …

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …

have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs … liquidity providers in normal times, namely their tolerance of risk, enables a large increase in asset price risk during a … financial panic. We show that a policy that discourages balance sheet risk reduces the magnitude of financial panics, as well as …

papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …