. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk … neutral and risk averse. For Value-at-Risk, we show that the optimal solution does not change with the type of decision maker …. However, this observation is not true for Conditional-Value-at-Risk. We then show for Conditional-Value-at-Risk that the …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …