This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk …, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating … performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing … investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for …. The divergence between the results of the two tests illustrates the role for higher-order moment risk in portfolio choice …

overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of … empirical distribution or a theoretical distribution (mitigating estimation risk). All computational results are reported for … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …

components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … interconnection between the pricing kernel and its densities, the extension to the risk-neutral measure follows naturally …