-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at … the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is … variance, ERC and risk parity strategies in portfolios of several large institutional investors. These portfolio constructions …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …