risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem … problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …