We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...

This article aims to outperform Warren Buffet's portfolio published on July 29, 2022 on The Motley Fool website. We used as a method the formation of a portfolio with 7 assets, similar to the 7 assets representing 80% of Buffet's portfolio, selected of the S&P500 index assets. We used daily data...

Ever since the introduction of Markowitz's classical quadratic programming problem, transforming portfolio optimization into a linear programming (LP) problem has drawn much attention from researchers and practitioners, given the tractability of LP. However, using non-linear risk measures and...

Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as...