Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of...

stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

This paper is intended as a literature retrieval. In the first part we introduce Kelly criterion and show some of its basic properties. Then we define general HARA (Hyperbolic Absolute Risk Aversion) utility function and investment consumption problem. By stochastic optimal control we demonstrate solution to this problem for special class of HARA utility and show basic model with proportional t...

A multivariate Bayesian spatial modeling approach was used to jointly model the counts of two types of crime, i.e., burglary and non-motor vehicle theft, and explore the geographic pattern of crime risks and relevant risk factors. In contrast to the univariate model, which assumes independence across outcomes, the multivariate approach takes into account potential correlations between crimes. S...

In this paper, we provide a characterization of interim inefficiency in stochastic economies of overlapping generations under possibly sequentially incomplete markets. With respect to the established body of results in the literature, we remove the hypothesis of two-period horizons, by considering longer, though uniformly bounded, horizons for generations. The characterization exploits a suitab...