This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective...

Robust optimization is a tractable alternative to stochastic programming particularly suited for problems in which parameter values are unknown, variable, and their distributions are uncertain. We evaluate the cost of robustness of the robust counterpart to the maximum return portfolio...

Second order Stochastic Dominance (SSD) has a well recognised importance in portfolio selection, since it provides a natural interpretation of the theory of risk-averse investor behaviour. Recently, SSD-based models of portfolio choice have been proposed; these assume that a reference distribution...

Recently considerable attention has been given to downside risk control in the context of portfolio choice; see Sortino and Satchell (2005). We propose an integrated model for portfolio choice in which downside risk is considered explicitly at the stage of the scenario generation which describes...

This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The...

The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

The paper aims to illustrate that the lack of a sharp distinction between grammatical categories causes certain verbal structures to oscillate between them. During a three-phase evolution cycle the meaning of these constructions suffers important changes due to the semantic shifts they undergo....