In this paper we propose a statistically derived measure as an alternative to the simple average PD to provide more accurate risk assessment at portfolio level. The theoretical analysis is followed by a numerical example in sections 3 and 4. We then assess the accuracy and representativeness...

In delegated portfolio management, we formulate a central-planned portfolio selection problem by multi-objective programming (utilities of the investor and the manager) to study the Pareto optimal portfolio and find Pareto improvement. First, we solve out two cases of the closed-form Pareto...