assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalised form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …

Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance …

problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness …

financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a …

derivative assets with nonlinear payoff structures, Value-at-Risk (VaR) is particularly suitable to serve as a risk measure in … nonlinear portfolio selection. Unfortunately, the nonlinear portfolio selection formulation using VaR risk measure is in general … using approximate parametric Value-at-Risk. More specifically, we use first-order and second-order approximations of VaR for …

31, 2011 was conducted. The portfolios were constructed from WIG20 stocks and WIBID 3M as risk-free asset. …