Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that … solved. Numerical experiments are run for various risk preference choices and it is found that for relatively large sample … the modeler puts on the tail risk when defining its objective function. These findings suggest that one should be very …

divided for an improvement in the worst-case objective value. Based on this theory, we propose several splitting heuristics …

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of Expected Shortfall, Value-at-Risk and the expectile are compared …