Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk … risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

The mean-variance portfolio optimization theory of Markowitz assumes that stock returns are distributed according to … inherently more risky than stocks with normal pdfs. This paper examines portfolio optimization using the kurtosis as a risk … fluctuations from the mean which is counter-intuitive and contrary to normal practice. It is argued that risk is multidimensional …

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and … Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an …