expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …