The extant supply chain management literature has not addressed the issue of coordination in supply chains involving risk-averse agents. We take up this issue and begin with defining a coordinating contract as one that results in a Pareto-optimal solution acceptable to each agent. Our definition generalizes the standard one in the risk-neutral case. We then develop coordinating contracts in thr...

Declaring a benchmark for a manager allows to better define the risk profile of the fund and to evaluate the relative performance against the market (Jorion (2003)). The issue of attracting potential investors in a period of financial crisis and economic recession arise the challenge of designing products which are capable of attracting the interest of investors and highlights the need for clea...

We document substantial practitioner interest in measures of the downside tail risk of hedge funds, such as maximum drawdown (MDD) and worst one-period loss, together with a general sentiment that “classical” performance measures such as the Sharpe Ratio do not convey enough information about tail risk. We characterize the nite-sample distribution of these measures and show that it depends line...

This paper proposes downside risk measure models in portfolio selection that captures uncertainties both in distribution and in parameters. The worst-case distribution with given information on the mean value and the covariance matrix is used, together with ellipsoidal and polytopic uncertainty sets, to build-up this type of downside risk model. As an application of the models, the tracking err...