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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2014

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

Persistent link: https://www.econbiz.de/10013060083

Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk … portfolio, minimum-variance portfolio, extreme risk index portfolio, and most diversified portfolio. The performance of …

Persistent link: https://www.econbiz.de/10013358817

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419