risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the …-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices …

We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … financial risk into several fragments, regulated via a risk measure separately. Coherent risk measures by definition are free of … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk …

nominal model. The Wasserstein approach suits for all types of model risk problems, ranging from the single-asset hedging risk …The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability … measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk …