In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a …'s optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance …, the methods of the theory of probability metrics can be used to arrive at a general axiomatic treatment of dispersion … measures and probability metrics can be used to describe continuity of risk measures. Finally, the methods of probability …

We consider classes of reward-risk optimization problems that arise from different choices of reward and risk measures … on a sequence of convex feasibility problems for the general quasi-concave ratio problem. We also consider reward-risk …

introduce the Kappa ratios, based on downside risk measures which take account of the asymmetry of the return probability … combination of risk free, stock and call/put instruments with respect to Kappa performance measures and in particular to the …

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside … risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures … take account of the entire return distribution. We show that the CPPI method performs better than the OBPI. As a …

Following the 2007-09 financial crisis, mainstream finance theory was criticized for failing to forecast the market … crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does … not take reality into account, failed investors? Do we need to reconsider the theory and how it is taught (and practiced …

Controlling and managing potential losses is one of the main objective of the Risk Management. Following Ben Ameur and … Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management … depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from …