This paper provides a detailed framework for modeling portfolios, achieving the highest growth rate under subjective risk constraints such as Value at Risk (VaR) in the presence of stable laws. Although the maximization of the expected logarithm of wealth induces outperforming any other...

Portfolio optimization should provide large benefits to investors, but standard mean-variance optimization (MVO) works so poorly in practice that optimization is often abandoned. The approaches developed to address this issue are often surrounded by mystique regarding how, why, and whether they...

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

The "histogram method" (Young, 2010), while the standard approach for analyzing distributional dynamics in heterogeneous agent models, is linear in optimal policies. We introduce a novel method that captures nonlinearities of distributional dynamics. This method solves the distributional...