Cover Image

Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Fleck, Andrew, Furman, Edward, Shen, Yang
Format:	Preprint
Published:	2024
Subjects:	Risk Management Portfolio Management 91B30
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

Stochastic Loss Reserving: Dependence and Estimation
by: Fleck, Andrew, et al.
Published: (2024)

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
by: Havrylenko, Yevhen, et al.
Published: (2022)

The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)

Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
by: Giller, Graham L
Published: (2025)

Risk Budgeting Allocation for Dynamic Risk Measures
by: Pesenti, Silvana M., et al.
Published: (2023)

The Geometry of Risk: Path-Dependent Regulation and Anticipatory Hedging via the SigSwap
by: Bloch, Daniel
Published: (2026)

Temperature Anomalies and Climate Physical Risk in Portfolio Construction
by: Azzone, Michele, et al.
Published: (2026)

Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
by: Alexander, Nolan, et al.
Published: (2026)

A Multi-step Approach for Minimizing Risk in Decentralized Exchanges
by: Di Nosse, Daniele Maria, et al.
Published: (2024)

Interpretable Systematic Risk around the Clock
by: He, Songrun
Published: (2026)

On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution
by: Cable, Travis, et al.
Published: (2025)

Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
by: Lucius, Travon, et al.
Published: (2025)

On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
by: Alexander, Nolan, et al.
Published: (2026)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

Mirror Descent Algorithms for Risk Budgeting Portfolios
by: Iglesias, Martin Arnaiz, et al.
Published: (2024)

Risk Management with Tail Quasi-Linear Means
by: Bäuerle, Nicole, et al.
Published: (2019)

Some properties of Euler capital allocation
by: Holden, Lars
Published: (2024)

An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
by: Giller, Graham L.
Published: (2024)

Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)

Risk valuation of quanto derivatives on temperature and electricity
by: Alfonsi, Aurélien, et al.
Published: (2023)

The Interplay between Utility and Risk in Portfolio Selection
by: Baggiani, Leonardo, et al.
Published: (2025)

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
by: Dhandapani, Vikranth Lokeshwar, et al.
Published: (2024)

On a multivariate extension for Copula-based Conditional Value at Risk
by: Barreto, Andres Mauricio Molina
Published: (2025)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
by: Thormann, Marah-Lisanne, et al.
Published: (2024)

Mesoscopic Structure of the Stock Market and Portfolio Optimization
by: Zema, Sebastiano Michele, et al.
Published: (2021)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)

Worst-case values of target semi-variances with applications to robust portfolio selection
by: Cai, Jun, et al.
Published: (2024)

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity
by: Kothari, Saumya, et al.
Published: (2024)

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
by: Lelong, Jérôme, et al.
Published: (2024)

Class of topological portfolios: Are they better than classical portfolios?
by: Goel, Anubha, et al.
Published: (2026)

A semi-parametric dynamic conditional correlation framework for risk forecasting
by: Storti, Giuseppe, et al.
Published: (2022)

Noise-proofing Universal Portfolio Shrinkage
by: Ruelloux, Paul, et al.
Published: (2025)

Portfolio Analysis Based on Markowitz Stochastic Dominance Criteria: A Behavioral Perspective
by: Xu, Peng
Published: (2025)

Dynamic Tracking Error and the Total Portfolio Approach
by: Alankar, Ashwin, et al.
Published: (2026)

Robust Optimal Investment and Reinsurance Problems with Learning
by: Bäuerle, Nicole, et al.
Published: (2020)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

Dynamic Factor Models with Forward-Looking Views
by: Abdelhakmi, Anas, et al.
Published: (2025)

Benchmarking M6 Competitors: An Analysis of Financial Metrics and Discussion of Incentives
by: Schneider, Matthew J., et al.
Published: (2024)