We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk … distortion risk measure of terminal wealth. In a general (complete) market model, we prove that an optimal dynamic strategy …. Finally, we illustrate how investors with different copula and risk preferences invest and improve upon the benchmark using …

by actions of the investor. Using the classical filtering theory, we reduce this problem with partial information to one … with full information and solve it for logarithmic and power utility functions. In particular, we apply control theory for …

utilize conic duality theory to reformulate the distributionally robust worst-case expectation constraint. Second, we devise a …

In this paper we reviewed some numerical algorithms, implemented in R language which solve the Risk Budgeting (RB … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large … Algorithm” is the most robust framework to implement risk-budgeting portfolios for any type of investment universe …

optimal controls the most. Furthermore, the individual's preferences, such as impatience level and risk aversion, have even a …

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 …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …