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 focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …

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 …

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

it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect …

optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the … diversification, we show that these portfolios are tilted towards assets with lowest volatilities and, after controlling for the low …

it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …

follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to …