The authors modeled the non-normal returns of multiple asset classes by using a multivariate truncated Lévy flight distribution and incorporating non-normal returns into the mean-conditional value at risk (M-CVaR) optimization framework. In a series of controlled optimizations, they found that...

Many asset pricing models consider ‘disagreement’ (heterogeneous expectations), while a variety of other asset pricing models focus on ‘tastes’ (preferences beyond risk aversion); yet relatively few asset pricing models simultaneously consider both. The Popularity Asset Pricing Model...

Financial planners and advisors have recently started to recognize that human capital must be taken into account when building optimal portfolios for individual investors. But human capital is not just another pre-endowed asset class that must be included as part of the portfolio frontier. An...