We study portfolio selection in a one-period financial market with an Expected Shortfall (ES) constraint. Unlike in classical mean-variance portfolio selection, it can happen that no efficient portfolios exist. We call this situation regulatory arbitrage and show that the presence or absence of...

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure ρ on L1. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact. However, unlike in classical...

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

This paper studies mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure ρ. We introduce two new axioms: weak and strong sensitivity to large losses. We show that the first axiom is key to ensure the existence of optimal...

Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many...