This review presents a general theory of financial crashes and of stock market instabilities
that his co-workers and the author have developed over the past seven years. We start by …

Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with
significant advantages over value-at-risk (VaR), are derived for loss distributions in finance …

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was
suggested and tested with several applications. For continuous distributions, CVaR is …

Just how risky is the movie industry? Is screenwriter William Goldman's claim that" nobody
knows anything" really true? Can a star and a big opening change a movie's risks and …

Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

Using one of the key properties of copulas that they remain invariant under an arbitrary
monotonic change of variable, we investigate the null hypothesis that the dependence …

A large consensus now seems to take for granted that the distributions of empirical returns of
financial time series are regularly varying, with a tail exponent b close to 3. We develop a …

We estimate the probability distributions of budgets, revenues, returns, and profits to G‐, PG‐
, PG13‐, and R‐rated movies. The distributions are non‐Gaussian and show a self‐similar …

Drawdowns are essential aspects of risk assessment in investment management. They offer
a more natural measure of real market risks than the variance or other cumulants of daily (or …

This paper suggests two new heuristic algorithms for optimization of Value-at-Risk (VaR). By
definition, VaR is an estimate of the maximum portfolio loss during a standardized period …