critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that … better absolute and risk-adjusted returns than a comparable buy and hold unleveraged strategy as well as a constant leverage …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving … little error margin in comparing market risk for different financial funds. As such, it should be a tool of preference for …, like short-term Efficient-Market-Hypothesis, EMH. In addition, the model includes a new measure of risk: a liquidity …

efficiency E of the optimal hedge, and the correlation rho is given by E = 1 - sqrt(1 - rho^2)This means that basis risk is …

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD … for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters …

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …

the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

presence of tail parameters being close to normal, the return risk may still be tremendous, and can only be reduced by … risk managers, fund managers and holders of large commercial real estate portfolios alike …

This study provides formal theoretical evidence for nesting of probability measures that are generated by risk aversion … in probability measures that are generated by risk seeking preferences. In presence of highlighted nesting, conditional … on independent parameterization of expectations (probability distributions) that are conditioned on either of risk …