Although multi-asset portfolios are central in modern finance, the multivariate statistical estimation involved in portfolio selection and management is not an easy task. This article focuses on the problem of estimating the probability of multi-asset portfolio large losses. We present a...

Financial crises can cause financial portfolios to incur large losses. Methodologies for portfolio selection taking into account the possibility of large losses have existed for decades but their economic value is not established. This article investigates if there is economic value in reducing...

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...

We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call "robustness against optimization". The new notion is studied for...

Motivated by recent advances on elicitability of risk measures and practical considerations of risk optimization, we introduce the notions of Bayes pairs and Bayes risk measures. Bayes risk measures are the counterpart of elicitable risk measures, extensively studied in the recent literature....