We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As is well known, one can map this problem into a linear programming setting. For some values of the external parameters, when the available time series is too short, portfolio...

In recent years, European farmers have been facing two new phenomena: agricultural commodity price volatility and a decrease in agricultural added value. These issues led the High Level Forum to censure low transparency in relationships between firms and frequently unfair commercial practices,...

This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is somehow riskier, so that the higher returns of a quality...