Now showing items 1-2 of 2

    • Generalized Systematic Risk 

      Kadan, Ohad; Liu, Fang; Liu, Suying (2014-10-01)
      We generalize the concept of .systematic risk to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different ...
    • Performance Evaluation with High Moments and Disaster Risk 

      Kadan, Ohad; Liu, Fang (2014-07-01)
      Traditional performance evaluation measures do not account for tail events and rare disasters. To address this issue, we reinterpret the riskiness measures of Aumann and Serrano (2008) and Foster and Hart (2009) as performance ...