Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...

In the existing literature, the value-at-risk (VaR) is one of the most representative downside risk measures due to its wide spectra of applications in practice. In this paper, we investigate the dynamic mean-VaR portfolio selection formulation, while the state-of-the-art has only witnessed...

This paper studies the dynamic mean-risk portfolio optimization problem with variance and Value-at-Risk(VaR) as the risk measures in recognizing the importance of incorporating different risk measures in the portfolio management model. Using the martingale approach and combining it with the...