This paper studies the aggregation of a downside risk measure introduced by Fishburn (1977). Properties of aggregated downside risk are examined and compared to classical risk measures such as standard deviation and value-at-risk. The notion of downside-efficient portfolios that maximize the...

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...

We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...

We use a panel dataset from the Dutch Household Survey, covering annually the period 1995-2012, to analyse whether individual financial risk taste changes over time with the background macroeconomic and financial conditions, as well as personal and subjective exposure to portfolio risk....

Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the...