The univariate collapsing method (UCM) for portfolio optimization is based on obtaining the predictive mean and a risk measure such as variance or expected shortfall of the univariate pseudo-return series generated from a given set of portfolio weights and multivariate set of assets under...

Recent research in financial economics has shown that rare large disasters have the potential to disrupt financial sectors via the destruction of capital stocks and jumps in risk premia. These disruptions often entail negative feedback effects on the macroeconomy. Research on disaster risks has...