strategy can be reinterpreted as a two-fund strategy in the growth optimum portfolio and the risk-free asset. …

with the Maxmin expected utility theory of Gilboa and Schmeidler (1989). The proportional transaction costs are …

investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic … invests in 10 industry sectors and cuts tail risk when compared to a sparse mean-variance portfolio. On a rolling-window basis …

On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason …Auf Grundlage der Portfolio selection-Theorie kommt dieser Beitrag zu dem Ergebnis, dass das einzelbetriebliche Risiko … order (a) to demonstrate the comparatively high overall risk exposition of a typical farm, (b) to show that an inflow of …

function on too thin layer of capital - high leverage - owing to a misreading of the degree of risk embodied in ever more … is upon capital requirements or debt ratios. The 'Quants' ignored systemic risk and just focused upon risk transfer in … following questions: what is an optimal leverage or capital requirement that balances the expected growth against risk? What are …

value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated … approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the … of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance …