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 …

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 …

.S., among the first of these leveraged funds were managed with a slightly modified Constant Proportion Portfolio Insurance (CPPI … analyzed as a constant allocation portfolio strategy and then analyze its properties. Then, we establish a CPPI equivalence …

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 …

estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component …, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little …