Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient...

In this paper, we study the well-known Haezendonck–Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the...

In the study of welfare systems, the relation of the social expenditure and the indicators of vulnerability as poverty rates or income inequality indexes focus a great interest in the literature. In this way, we evaluate the productivity of social transfer policies of EU15 states, which are the...

This study examines the role of U.S. timberland assets in a mixed portfolio from the risk perspective. Under the mean-conditional value at risk (M-CVaR) optimization framework, the efficient frontier of the mixed portfolio is dramatically improved after adding timberland assets in comparison of...

Purpose – This paper aims to examine the performance of UK-listed infrastructure over a unique investment period covering the global financial crisis and investigates the significance of UK infrastructure in a multi-asset portfolio. The analysis reveals the level of correlation of UK...

Purpose – The purpose of this paper is to examine the performance of European listed infrastructure before, during and after the global financial crisis and the significance of European infrastructure in a mixed asset portfolio. The paper examines the level of correlation of European...

Este trabajo realiza comentarios y observaciones a la investigación de Herrera y Millones (2011).1 En primer lugar, se analiza este estudio desde la perspectiva metodológica considerando los siguientes puntos: a) el cálculo del valor del daño ambiental minero utilizando precios sombra, b) el...

We examine the optimal allocation of assets in the portfolio of a Colombian homeowner conditional on various levels of the house value to net wealth ratio. The high rate of home ownership and low rates of investment in financial assets indicate that households allocate most of their wealth to...