We analyze portfolio policies for investors who invest optimally for given investment horizons with respect to Conditional Value-at-Risk constraints. We account for non-normally distributed, skewed, and leptokurtic asset return distribution due to regime shifts. The focus is on standard CRRA...

Traditional balanced funds with a more or less constant stock allocation cannot solve the conflict of various investment horizons that most institutional investors face. In order to generate capital gains, large allocations in risky asset classes such as equities are needed. However, this is not...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we try to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...