Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minimization of two asymmetric deviation measures,...

In this paper we propose a new risk decomposition technique. Taking an example of a portfolio of assets that can be decomposed into sub portfolios and also represented using a factor model, investment professionals have access to tools that can represent risk from three different perspectives...