We consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a budget constraint. The investor wishes to maximize her expected utility from terminal wealth subject to a bound on her expected solvency at maturity. We measure solvency using a...

We present a thorough empirical study (based on over 8 years of daily data) of candidate models for forecasting losses in relation to positions held against individual risk factors as well as losses in relation to a portfolio of risk factors. As part of the study, we also define various measures...