Institute of Economics
Varnbüelstrasse 19
St Gallen, St. Gallen 9000
Switzerland
Consortium for Data Analytics in Risk
Evans Hall
Berkeley, CA 8032
United States
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
University of St. Gallen
University of California at Berkeley
Swiss Finance Institute
drawdown; Conditional Expected Drawdown; deviation measure; risk attribution; convex optimization; serial correlation
sustainable finance, investor sentiment, ESG, asset pricing
green finance, inequality, innovation
empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry
diversification, portfolio choice, risk aversion, children's decision making
diversification, risk aversion, convex preferences
naive diversification, convex preferences, permutation invariant preferences, Schur-concave utility, inequality aversion, majorization, Dalton transfer, Lorenz order
Diversification, Portfolio Choice, Diversification Cost, Irrational Diversification, Diversification Bias, Risk Aversion, Loss Aversion
consistent choice, internal consistency, semantic consistency, context-dependent preferences
temporal risk measure, path-dependent risk measure, drawdown, duration, liquidation stopping time, serial correlation
naive uncertainty, choice under complete uncertainty, principle of indifference