Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...

If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...