In contrast with existing literature that focuses on conditional Value-At-Risk (CVaR) as a portfolio risk measure, we examine here the properties of portfolios built to minimize CVaR. We look into the stability and performance potential of CVaR-optimal portfolios and compare our results with...

Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial...

Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...