Pessimistic preferences and portfolio allocation - empirical analysis and risk management applications

This paper explores the effect farmer perceptions concerning how best management practice (BMP) adoption changes the profit distribution have on BMP adoption incentives and the potential for insurance to increase these incentives. Adoption indifference curves illustrate the effect of farmer perceptions on BMP adoption incentives and the potential for insurance to expand the set of perceptions consistent with adoption. Empirical analysis quantifies these conceptual results for nutrient BMP insurance, a new policy available to corn farmers as part of a USDA-Risk Management Agency pilot program in four states. Results indicate that nutrient BMP insurance can have economically relevant effects on farmer adoption incentives.

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A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange

Journal of Economics and Behavioral Studies ◽

10.22610/jebs.v5i3.391 ◽

2013 ◽

Vol 5 (3) ◽

pp. 164-172

Author(s):

Yasemin Deniz AkarÄ±m

Keyword(s):

Risk Management ◽

Asset Pricing ◽

Nonlinear Models ◽

Investment Decisions ◽

Portfolio Allocation ◽

Garch Models ◽

Ann Model ◽

Volatility Forecasting ◽

Forecasting Performance ◽

Linear And Nonlinear

This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management

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The labor medicine of civil aviation personnel in the Russian Federation

LAPLAGE EM REVISTA ◽

10.24115/s2446-622020206extra-a571p.135-141 ◽

2020 ◽

Vol 6 (Extra-A) ◽

pp. 135-141

Author(s):

Shpagonov Aleksandr Nikolaevich ◽

Khabibullina Albina Shamilovna ◽

Kolodub Grigory Vyacheslavovich ◽

Eleonora Igorevna Leskina

Keyword(s):

Risk Management ◽

Empirical Analysis ◽

Russian Federation ◽

Management System ◽

Air Transport ◽

Civil Aviation ◽

Flight Safety ◽

Risk Management System ◽

The World ◽

The Russian Federation

Recently, the incidence of civilian aircraft crashes has increased. These disasters lead to many casualties. Around the world, safetyis apriority in regulating air transport. But flight safety is closely related to pilotfatigue. In this regard, the pilot load standards must be clearly verified. The aim of the article is to analyze the possibility of increasing the sanitary norms of the flight load and at the same timereducing the annual leave for the crew members of civil aviation personnel inRussia. The methods used are both empirical (analysis andsynthesis, induction and deduction, systematization), and theoretical. Each airline must develop an effective risk management system based on thosedeveloped abroad. This system should include control over the rest of the pilots, ensure uninterrupted vacation for at least three weeks, take into account the qualityof the inter-shift rest of the pilots, fly in unusual situations.

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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Dependence Modeling ◽

10.1515/demo-2018-0002 ◽

2018 ◽

Vol 6 (1) ◽

pp. 19-46 ◽

Cited By ~ 5

Author(s):

Xisong Jin ◽

Thorsten Lehnert

Keyword(s):

Risk Management ◽

Value At Risk ◽

Degrees Of Freedom ◽

Portfolio Allocation ◽

Optimal Portfolio ◽

Gaussian Copula ◽

High Dimensional ◽

Dependence Structure ◽

Portfolio Risk ◽

Portfolio Risk Management

Abstract Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse of dimensionality. In this paper, we extend the framework of the Dynamic Conditional Correlation/Equicorrelation and an extreme value approach into a series of Dynamic Conditional Elliptical Copulas. We investigate risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) for passive portfolios and dynamic optimal portfolios using Mean-Variance and ES criteria for a sample of US stocks over a period of 10 years. Our results suggest that (1) Modeling the marginal distribution is important for dynamic high-dimensional multivariate models. (2) Neglecting the dynamic dependence in the copula causes over-aggressive risk management. (3) The DCC/DECO Gaussian copula and t-copula work very well for both VaR and ES. (4) Grouped t-copulas and t-copulas with dynamic degrees of freedom further match the fat tail. (5) Correctly modeling the dependence structure makes an improvement in portfolio optimization with respect to tail risk. (6) Models driven by multivariate t innovations with exogenously given degrees of freedom provide a flexible and applicable alternative for optimal portfolio risk management.

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