In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the bid-ask bias, order follow imbalance on post earnings announcement period for UK stock market from 2000-2021. The earning drift is significantly...