In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard …

benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …. The improvements critically depend on imposing the complex condition of Decreasing Absolute Risk Aversion in addition to …

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of … geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in … diversifying risk …

recent backward volatility estimates is the most popular risk targeting mechanism but it could not have anticipated a deep … drop and January 2019 bounce back. The drawbacks of recent volatility are that in such a risk model, short-term volatility …In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio …

In this paper, we show empirically that Active Risk Budgeting is a superior portfolio construction methodology to the … tangency portfolio method postulated by Mean Variance Optimization. We compare the performance of Active Risk Budgeting and …. We find that almost always Active Risk Budgeting has better returns. Only when the signal used for portfolio construction …