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 …

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 …

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 …

with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

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 …

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …