In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal...

Tail conditional expectation (TCE) has properties which are considered desirable and applicable in a variety of situations. (In particular, it satis es requirements of a "coherent" risk measure in the spirit developed by Artzner et al. (1999)). Consequently, there has been growing interest among...

This paper extends the widely used Lee Carter (LC) model (Lee & Carter, 1992) for mortality projection. We suggest a Bayesian change-points model for the time parameters in the Bayesian extension of the LC model suggested in Czado et al. (2005). In particular, we modify the simple linear trend...