Insurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by...

In this paper, we analyze data on trends since 2000 in foreign holdings of government securities and other debt securities, with emphasis on Japan and developing Asia. We find that foreign residents generally increased their holdings of Asian debt securities during the sample period and in...

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

The idea of using stochastic control methods for theoretical studies of portfolio management has long been standard, with maximum expected utility criteria commonly being used. But in recent years a new kind of criterion, the risk sensitive criterion, has emerged from the control theory...

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This paper reviews the recent development in estimating high dimensional covariance matrices, where the number of variables can be greater than the number of observations. The...

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This paper reviews the recent development in estimating high dimensional covariance matrices, where the number of variables can be greater than the number of observations. The...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Current renewable portfolio standards in Illinois call for 25% of the state’s energy to be met through renewable means by 2025, with 75% of this requirement to come from wind. The problematic intermittency of wind might be overcome by a geographically disperse portfolio of wind farms. Using...

We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while...

We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of...