We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...

We propose a counter-cyclical initial margin model for option portfolios. Our model explores the intrinsic netting within a given portfolio of European options and outputs a constant upper bound of the maximum possible loss. This feature would allow option clearinghouses and regulators to gauge...

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. In the mean-variance world for a market of all risky...

The current literature on behavioral portfolio optimization with reference point updating assumes that the decision maker foresees how the reference point will evolve and thus solves a time-consistent problem formulation. Empirical findings on the other hand suggest that decision makers often...

We extend a recent result of Trybula and Zawisza [Mathematics of Operations Research, 44(3), 966-987, 2019], who investigate a continuous-time portfolio optimization problem under monotone mean-variance preferences. Their main finding is that the optimal strategies for monotone and classical...

Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk...

In the existing literature, the value-at-risk (VaR) is one of the most representative downside risk measures due to its wide spectra of applications in practice. In this paper, we investigate the dynamic mean-VaR portfolio selection formulation, while the state-of-the-art has only witnessed...

We examine how the evidence of mean-reversion in stock returns affects dynamic trading behavior for investors with prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory preferences and mean-reverting return...

An investor does not always invest in risky assets in all time periods, often due to the management fee charged for hiring an agent in managing his investment in risky assets. Motivated by this observed common phenomenon, this paper considers the time cardinality constrained mean-variance...

We consider in this paper the mean-variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level,...