Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...

This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an...

This paper studies mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure ρ. We introduce two new axioms: weak and strong sensitivity to large losses. We show that the first axiom is key to ensure the existence of optimal...