. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance …, the methods of the theory of probability metrics can be used to arrive at a general axiomatic treatment of dispersion … measures and probability metrics can be used to describe continuity of risk measures. Finally, the methods of probability …

We consider classes of reward-risk optimization problems that arise from different choices of reward and risk measures … on a sequence of convex feasibility problems for the general quasi-concave ratio problem. We also consider reward-risk …

estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component …, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little …

Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with … copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and …