diversification potential and therefore risk reduction. Yet, the latter may be counterbalanced by the fact that emerging markets … usually present higher risks when considered on their own; for instance higher price volatility and fluctuating liquidity. We …, emerging market assets could be combined into efficient portfolios when assessed in terms of risk and return. By contrast …

to take into account both the profitability and the risk associated with the assets, but that used to be done mostly at …, Markowitz showed how efficient portfolios (those that maximize expected profitability at a given risk level) can be put together …

The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk …. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified … according to risk scales. …

In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …

We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante … raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and … the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice …

axiomatic model of risk-averse preferences, where decision makers are assumed to possess an expected utility function and the … proposed by Markowitz (1952), is very intuitive and reduces the portfolio choice to a set of two criteria, reward and risk …, with possible tradeoff analysis. Usually the reward-risk model is not consistent with the first approach, even when the …

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by … Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the … that returns are normally distributed, the efficient frontiers obtained by taking value-at-risk or expected-shortfall are …