strategy can be reinterpreted as a two-fund strategy in the growth optimum portfolio and the risk-free asset. …

value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated … approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the … of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance …

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

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 …

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