This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio risk measures are vulnerable to larger skewness...

In investment portfolio management, every investor generally wishes to obtain the highest possible expected returns for a given level of risk, as represented by the volatility of the returns of the investor’s portfolio. Therefore, in order to make rational capital allocation decisions, the...