We study properties of the Rearrangement Algorithm (RA) in the context of inferring dependence among variables given their marginal distributions and the distribution of the sum. We show that the RA yields solutions that are “close to each other” and exhibit almost maximum entropy. The...

The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher-order...

Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an...

Using various techniques, Cox and Leland (1982,2000), Dybvig (1988a, 1988b), Vanduffel et al. (2009) and Bernard and Boyle (2010) have shown that in onedimensional markets, complex (path-dependent) contracts are generally not optimal for rational consumers. In this paper, we generalise these...

We first study mean-variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean-variance efficient...

In standard portfolio theories such as Mean-Variance optimization, Expected Utility Theory, Rank Dependent Utility Theory, Yaari's Dual Theory and Cumulative Prospect Theory, the worst outcomes for optimal strategies occur when the market declines (e.g, during crises), which is at odds with the...

We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...