In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and...

Recently, a lot of attention has been focused on developing portfolio allocation models that take into account the asymmetric nature of asset return distributions. In this paper, we extend Krokhmal, Palmquist, and Uryasev's approach by using CVaR-like constraints in the traditional portfolio...

Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides...

Transaction cost variance introduces a risk often neglected in portfolio optimization. We define a mean-variance portfolio optimization problem and show that including a transaction cost variance term significantly impacts the performance of these portfolios. Transaction cost variance is...

Today's asset management academia and practice is dominated by mean-variance thinking. In consequence, this leads to the quantification of the dependence structure of asset returns by the covariance or the Pearson's correlation coefficient matrix. However, the respective dependence measures are...

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions that generalise the classical Euler contributions and...

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable events, inducing income volatility and adding considerable complexity to farmers’ decisions. The literature suggests that these events could affect farmers’ risk aversion in...

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In...

Interconnectedness is an alternative risk concept that so far has earned little attention in the asset management academia and industry. In this paper, we show that this neglect is not justified, as interconnectedness risk (i) has only moderate or no connection to conventional portfolio...