The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...

We give a full characterization of the continuation and stopping regions of optimal stopping of diffusions. We consider separately the case of a naive agent who is unaware of the possible time inconsistency in her behavior and the case of a sophisticated agent who is fully aware of such an...

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure ρ on L1. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact. However, unlike in classical...

Let us suppose that presently unimagined is possible, that “the unexpected may happen” (Marshall, 1920, p. 347). Then “human decisions affecting the future, whether personal, political or economic, cannot depend on strict mathematical expectation since the basis for making such...

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk measures) and the one of Tsanakas (convex case), to the...