The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear …

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of … hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in …

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio … ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk … (VaR) or expected shortfall (ES) as risk measures. Often the latter is preferred as it deals better with risk in sub …

-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

involves taking on some implicit short options risk.This article will briefly touch on the problems with using traditional …