When it comes to stock returns, any form of predictability can bolster risk-adjusted profitability. We develop a …

Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

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

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 …

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 …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

discrete ill-posed problem with box constraints. We show how this framework allows for a priori investor expectations and risk … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases … that this model can be applied dynamically to manage portfolio risk for positions with multiple options and an underlying …