In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …

We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular … index and in many cases also the risk-based benchmark (minimum variance). In part, higher returns can be explained by …

as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider …

ratio, and buyout cost, subject to a constraint on downside risk in terms of expected shortfall of assets relative to … increase downside risk …

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 …