The aim of this paper is to provide several examples of convex risk measures necessary for the application of the … classical portfolio risk measures such as the standard deviation, we, in particular, construct risk measures related to the … and Mahmoud (2017), and Zabarankin, Pavlikov, and Uryasev (2014), who used the absolute drawdown, our risk measure is …

Utility and risk are two often competing measurements on the investment success. We show that efficient trade … of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

variable, there is an interest rate risk. Therefore, banks need information about the optimal leverage strategies based on the …’s strategy does not address risk adequately. We used the return–drawdown ratio and inflection point of Kelly’s cumulative return … different monetary policy environments. This provides bank managers flexible tools in mitigating risk. …

market model; (b) trading strategies; (c) risk and utility functions (performance criteria); and (d) the optimization problem … fraction). As application, we discuss the utility function of compounded return and the risk measure of relative log drawdowns. …