for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications … on the website. The case study was done with the Portfolio Safeguard (PSG) optimization package, which has precoded risk …

parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for … portfolio stability, variance and risk-adjusted returns. Empirically, we compare the out-of-sample performance of the robust …

discussed empirically based on portfolio return and risk. …