This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk … that not all risk statistics should be included in the model when establishing an investment strategy. Lastly, we … constructed the investment strategy based on the prediction model using a set of independent active statistics …

This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value …-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the … optimal investment, consumption strategies, and observation strength. Numerical simulation results are provided to illustrate …