The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …

Portfolio Risk -- Hedging Strategy with Futures Contracts -- Investing in a portfolio consisting of energies and related …Introduction -- Arbitrage Trading in Energy Market and Risk Measurement -- Fuel Markets Connectedness and Fuel … finance must be able to learn how to utilize these methodologies and how to interpret the analysis results. This book provides …

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …