After more than half a century mean variance analysis still remains the primary conceptual tool for understanding the trade-off between risk and return and for the definition of optimal investment portfolios. Despite its theoretical appeal practical applications have always experienced major difficulties. Optimal portfolio weights appear extremely sensitive to minor changes in expected returns ...

Abstract The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk-constrained portfolio optimization context where the return maximized. We compare with OEU constraint selection model using value at as constraint. former coherent measure for functions constant relative aversion and allows individual specifications investor’s attitude time preference. In ...

Abstract Activities in the agricultural sector are always faced with risk and uncertainty. The problem of uncertainty is also experienced by vegetable farmers Marelan District. Generally, cultivate long beans, spinach, mustard. One alternative that can be done to minimize impact doing diversification. Moreover, diversification supports sustainability agriculture. Diversification farming combini...

We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...