This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

discussed empirically based on portfolio return and risk. …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …

generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic … modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk … exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …

The dual risk model is a popular model in finance and insurance, which is mainly used to model the wealth process of a … venture capital or high tech company. Optimal dividends have been extensively studied in the literature for the dual risk …

inflation outperformance or liability coverage ratios further complicate risk management and portfolio optimization. This paper … partial moment (LPM1), put premium (PP) risk measure or mean excess loss (MEL) and stop loss premium (SLP) in actuarial … decomposition into marginal single target MBT measures.Besides exploring the properties of such risk measure the paper covers all …