tail risk. The impact of the misalignment across the different dimensions of the ESG score is distinct from that of ESG … score level itself. Aggregate downside risk bears a negative price for firms with low ESG disparity. …

traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset …, we obtain analytical formulas for computing asset risk contributions of a given portfolio. Therefore, we define risk … mix policy. When assets exhibit jump risks like the short volatility strategy, we show that skewness-based risk parity …

Utility-based shortfall risk (SR) measure proposed by (F\”ollmer and Schied, 2002) has been well studied in risk … problem similar to the definition of SR and subsequently call the premium functional as a generalized shortfall risk measure … preference functional is a distorted expected value function based on prospect theory. Specifically, we exploit Weber's methods …