risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent - one who … is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features … structure of risk premia, which are found empirically. Since such preferences can lead to dynamic inconsistencies with respect …

Fama-French portfolios for the US markets and report that the risk factors cannot definitively identify assets with higher … average returns though they may help in identifying those with lower average risk. Further, using both Fama-French portfolios …

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where … risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk … contributions that generalise the classical Euler contributions and which allow us to obtain dynamic risk contributions in a …

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …

, we model the ESG reputational risk by means of the paradigms of behavioural finance. We define the ESG reputational risk …

) describes single period risk with long horizon contributions in the frequency domain. Mean-reversion risks correspond to horizon … variances. Mean-reversion risk is measured using the Fourier decomposition of finite length digital returns. Mean-reversion risk … sensitive to one mean-reversion length risk. Expected return is defined by mean-reversion risk premiums and betas. Mean …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …