Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.

The disruption of the trade and investment activities multinational enterprises as a consequence Covid-19 pandemic has reinvigorated debate on configuration global value chains (GVCs) well risks challenges associated with offshoring. This article depicts how might affect GVC by driving trend toward more regional footprint in industries which resilience reliability are critical. Such shift would...

Abstract We exploit detailed transaction and position data for a sample of long-short equity hedge funds to study the trading activity fundamental investors. find that exhibit skill in opening positions, but they close their positions too early, thereby forgoing about one-third trades’ potential profitability. explain this behavior with limits arbitrage: early order reallocate capital more prof...

Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights in...

Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice affects investors’ savings and asset returns. establish a channel by which increases savings—by enabling them to earn the aggregate risk premium or take speculative positions. In equilibrium, customization (access risky assets beyond market portfolio) reduces risk-free rate. Participation but...

A laser photolysis–long path laser absorption (LP-LPLA) experiment has been used to determine the rate constants for H-atom abstraction reactions of the dichloride radical anion (Cl2) in aqueous solution. From direct measurements of the decay of Cl2 in the presence of different reactants at pH 5 4 and I 5 0.1 M the following rate constants at T 5 298 K were derived: methanol, (5.1 6 0.3) · 104 ...