substantial impact of doing so. In short, the risk climate can and should be incorporated in a stress test. Second, we provide a … to a trade-off between the competing objectives of minimizing risk and maximizing return. We achieve this with a scenario …-constrained mean-variance optimization that can incorporate extreme risk and other non-Gaussian effects. We illustrate our methods in …

' risk exposure. Vulnerability results mainly from price trends and fluctuations, following supply and demand shocks. Such … minimize the portfolio's variance, semi-variance and tail risk, in the presence and the absence of constraints on the portfolio … period. Under a return constraint, the semi-variance optimal portfolio offers the best risk-return tradeoff, whereas the tail-risk …