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 …

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 …

diversifying risk …

This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk … uncertainty is more robust to investment decision making than modeling of evolution of asset risk …

I provide a measure of time-varying tail risk in credit markets based on a dynamic power-law model. Credit tail risk is … existence of a finite second moment. Sellers of short-term CDS protection bear a higher tail risk of more extreme returns than … probability of credit default imply a greater tail risk than in the peripheral region. This phenomenon can be explained by the …

Risk decomposition is a standard tool for analyzing investment portfolio risk. The portfolio is divided into notional … parts—e.g., individual securities, holdings by sector or region, factor exposures—whose contributions to net risk are … composition changes with price movement and estimates have errors. Since behavior only in the direction of net risk is counted …