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 …

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

A portfolio of independent, but not identically distributed, returns is optimized under the variance risk measure, in … borrowed from the theory of disordered systems. The no-short selling constraint acts as an asymmetric ℓ₁ regularizer …