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 …

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even …

This paper develops new financial theory to link the third order stochastic dominance for risk-averse and risk …-seeking investors and provide illustration of application in risk management. We present some interesting new properties of third order … stochastic dominance (TSD) for risk-averse and risk-seeking investors. We show that the means of the assets being compared should …

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of … hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in …

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole … (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at … the cost of increasing systemic risk. Later, a follow-up study showed that a particular strategy of securitization with …