Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...
