Petersplatz 1
Basel, CH-4003
Switzerland
Center for Risk Management Research
Evans Hall
Berkeley, CA 94720
United States
University of Basel
University of California, Berkeley
drawdown; Conditional Expected Drawdown; deviation measure; risk attribution; convex optimization; serial correlation
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, risk aversion, convex preferences
diversification, portfolio choice, risk aversion, children's decision making
naive diversification, convex preferences, permutation invariant preferences, Schur-concave utility, inequality aversion, majorization, Dalton transfer, Lorenz order
temporal risk measure, path-dependent risk measure, drawdown, duration, liquidation stopping time, serial correlation
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temporal risk, path-dependent risk, drawdown duration, maximum drawdown, serial correlation
diversification, naive diversification, evolutionary choice, fitness, natural selection, portfolio choice
sustainable equity, market crash, uncertainty, ambiguity, investor sentiment, ESG factor
consistent choice, internal consistency, semantic consistency, context-dependent preferences
Diversification, Portfolio Choice, Diversification Cost, Irrational Diversification, Diversification Bias, Risk Aversion, Loss Aversion
sustainable investing, social preferences, impure altruism, warm glow, investor’s high
naive uncertainty, choice under complete uncertainty, principle of indifference
