Traditional portfolio optimization approaches suffer from the drawback of often leading to highly concentrated portfolios. We propose a new kind of optimization focusing on a homogeneous distribution of risk among the portfolio constituents. We describe the underlying ideas of the approach and...

In this study, we generalize the model of Pham (Pham [2003]) to jump diffusion models. Based on (Pham [2003]), we first consider an investment model where we construct a portfolio of a riskless asset and a risky one which is assumed to follow a jump diffusion process so as to overperform a given...

This paper examines the rise of the VAR (Vector AutoRegressive) approach from a historical perspective. It shows that the VAR approach arises from a fusion of the Cowles Commission tradition and time series statistical methods, catalysed by the rational expectations (RE) movement, that the...