Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance,...

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Yaari's dual theory of choice is the natural counterpart of expected utility theory. While the optimal payoff choice for an expected utility maximizer is well studied in the literature, substantially less is known about the optimal payoff for a Yaari investor. In the first part of the paper, we...