Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The … innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …

risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one … uncertainty with risk and return of stock trading. In terms of methodology, we show the effect that using an encompassing prior … better results in terms of profit per capital engagement and risk than using a standard linear normalization …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the … distribution, respectively their joint risk. Statistical analyses state, this model quantifies the distribution tails very … accurately, resulting precise VaR estimates. We also construct minimum-risk portfolios on basis of the volatility forecasts. The …