This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk …, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating … performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The … discrete set of scenarios. We address the inner problem by first generalizing the risk-based haircuts calculation into a …

literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire … portfolio. Default risk is measured with quadratic weighting and a matrix containing information about the default intensity of … algorithm can be applied to a portfolio's credit risk management, which is particularly crucial for investors and regulars in …