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Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized shape parameter from the skew-normal distribution....
Persistent link: https://www.econbiz.de/10008676510
The "hard-easy effect" is a well-known cognitive bias on self-confidence calibration that refers to a tendency to overestimate the probability of success in hard-perceived tasks, and to underestimate it in easy-perceived tasks. This paper provides a target-based foundation for this effect, and...
Persistent link: https://www.econbiz.de/10010951592
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger...
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A risk-averse agent does not necessarily decrease the optimal insurance whenever a beneficial change in the distribution of final wealth occurs. This paper provides sufficient conditions to guarantee such a decrease. Beneficial changes can be induced by either a beneficial loss-distribution...
Persistent link: https://www.econbiz.de/10005142342
Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are suggested for personalizing asset allocation....
Persistent link: https://www.econbiz.de/10005158702