critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that … better absolute and risk-adjusted returns than a comparable buy and hold unleveraged strategy as well as a constant leverage …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving … little error margin in comparing market risk for different financial funds. As such, it should be a tool of preference for …, like short-term Efficient-Market-Hypothesis, EMH. In addition, the model includes a new measure of risk: a liquidity …

efficiency E of the optimal hedge, and the correlation rho is given by E = 1 - sqrt(1 - rho^2)This means that basis risk is …

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD … for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters …

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even …

This paper develops new financial theory to link the third order stochastic dominance for risk-averse and risk …-seeking investors and provide illustration of application in risk management. We present some interesting new properties of third order … stochastic dominance (TSD) for risk-averse and risk-seeking investors. We show that the means of the assets being compared should …

to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …