Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …

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 …

risk measure of a decision-dependent random variable stays below a prescribed level. At the same time, the underlying … probability distribution determining the risk measure's value is typically known only up to a certain degree and the constraint … derivation of a tractable robust counterpart can be split into two parts: one corresponding to the risk measure and the other to …

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …

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 …

We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G … as a Donsker-type result for the G-Brownian motion. G-expectation, volatility uncertainty, weak limit theorem …