In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). The index θ of an EVaR is the relative cost of the expected margin shortfall and hence reflects the level of prudentiality. It is also shown that a given expectile corresponds to the quantiles with...

This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or in a market. We hypothesize that an extreme downside movement of returns in a market measured by a VaR has negative effects on other markets, causing a simila...

Capacity control implementations in make-to-order (MTO) revenue management typically are based on bid-prices, which are used to approximate the opportunity cost of accepting a customer request. However, in the face of stochastic demand, this approximation becomes less accurate and the performance of bid-prices may deteriorate. To address this problem, we examine the informational dynamics inher...

Moody’s analysts and sell-side equity analysts adjust GAAP earnings as part of their research. We show that adjusted earnings definitions of Moody’s analysts are significantly lower than those of equity analysts when companies exhibit higher downside risk, as measured by volatility in idiosyncratic stock returns, volatility in negative market returns, poor earnings, and loss status. Relative to...

We here provide a comprehensive study of the utility-deviation-risk portfolio selectionproblem. By considering the first-order condition for the corresponding objective function, we firstderive the necessary condition that the optimal terminal wealth satisfying two mild regularity con-ditions solves for a primitive static problem, called Nonlinear Moment Problem. We then illustrate<...

10.1056/nejmp1106012 nejm.org e6(1) authorized by the Affordable Care Act (ACA). Under this policy, ACOs could participate in one of two types of 3-year arrangements. In the first path, in years 1 and 2 they would be eligible to share any savings they achieved relative to a spending target without accepting “downside” risk. In year 3, the ACOs would be required to repay Medicare for a percentag...

Sustainable watershed development suffers from severe challenges, such as water pollution and scarcity. Based on an analysis of quality utilization in the Fenhe River Basin, inexact two-stage stochastic programming model with downside-risk aversion was built for optimal resource allocations four primary use sectors (industry, domestic use, agriculture, environment) Basin. The aims to maximize c...

The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...

We carry out a Monte-Carlo simulation of a standard portfolio management strategy involving derivatives, to estimate the sensitivity of its downside risk to a change of mean-reversion of the underlyings. We find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss level. This phenomenon appears of large statistical significance for large e...