We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by positively homogeneous measure . first show that under mild assumptions, the set of optimal portfolios for fixed return nonempty and compact. However, unlike classical mean-variance selection, it can happen no efficient exist. call this situation -arbitrage, prove cannot be excluded—unless as c...

One of the more effective ways of managing high densities of adult mosquitoes that vector human and animal pathogens is ultra-low-volume (ULV) aerosol applications of insecticides. The U.S. Environmental Protection Agency uses models that are not validated for ULV insecticide applications and exposure assumptions to perform their human and ecological risk assessments. Currently, there is no val...

CAN THE NORMALITY OF THE SEMI VARIANCE BE IMPROVED? EVIDENCE FROM FINANCIAL STOCK INDEXES WITH HOURLY, DAILY, QUARTERLY AND ANNUAL DATA OF DJIA AND SP500 ELDOMIATY, Tarek Ibrahim Abstract This study examines the financial and statistical properties of the variance and semi variance (SV). Since the mean-variance approach and its extended mean-semi variance approach assume normality of returns, i...

This paper explores the foundations for application of empirical growth-at-risk (GaR) approach to assessment and design macroprudential policies. It starts considering a stylized benchmark linear specification GaR in combination with linear–quadratic social welfare criterion that rewards expected GDP growth penalizes gap between GaR. If rate follows normal distribution, this can be microfounded...

As regards decreasing cotton cultivation in Iran during these years, the degree of risk taken by a cotton cultivator in the agricultural part is important. The studies showed that the cotton crop yield during the past years did not have enough growth and the cotton cost product in the period of study cotton production costs, has increased. In this paper, the risk orientation of cotton cultivato...

Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to mean–variance portfolios. However, since the robust formulation finds a different portfolio from the optimal mean–variance portfolio, the two portfolios may have dissimilar levels of factor exp...