This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...

The goal is to investigate the dynamics of banks’ share prices and related financials that lead to potential disruptions to credit and the economy. We adopt a classic macroeconomic equilibrium model with households, banks, and non-financial companies and explain both market valuations and...

Although uncertainty is one of the oldest and most substantial parts of economic theory, there is still no consensus among economists on what uncertainty is. The key aspects are the ”under-socialized” versus ”oversocialized” approach, rationality and the alleged contrast between...

Italian Abstract: Questo lavoro si propone il compito di illustrare le alcune problematiche riguardo alle misure di rischio e di performance specifiche degli Hedge Funds, di fornire alcuni elementi analitici per una risposta adeguata alle questioni esposte ed infine di dare alcuni spunti di...

This work aims to conduct an analysis of the techniques for assessing and managing emerging risks that impact the insurance sector and to investigate issues related to climate change. The investigation took into account the regulatory obligations that arise for the Company to determine the...