Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

Assefiiability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risk-transfer solutions for clients in the Fortune 500 group of companies. AFIR 1996 publications dealing with these topics were, e.g., Optimal Fund Design for In...

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...

This paper gives an asymptotic analysis of the mean-variance (Markowitz-type) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance of the risk aware Markowitz-type portfolio strategy in growth rate compared to the log-optimal portfolio strategy, which does not have explicit risk control. Statements are given with and without fu...

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...

We study an investor’s decision to switch from active portfolio management to passive management. This problem is mathematically modelled by a mixture of a consumption-portfolio selection problem and an optimal stopping problem. We assume that the investor has stochastic differential utility with ambiguity aversion and incurs utility loss from active portfolio management that can be avoided by ...

Mean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to make a balance between the risk and return on their portfolio. In this paper, the deviation of the asset return from the investor’s expectation in the worst scenario is taken as the measure of risk for portfolio selection. One important advantage of this approach is that the inve...

This paper presents a multi-stock discrete time market model. In this model, we consider an optimal solution in the multi-stock portfolio selection. Specially, the model allows that the optimal strategy to maximize an exponent function of the expected value is quasi myopic.

In this paper, we consider the problem of a decision maker who is concerned with the management of a portfolio over a finite horizon. The portfolio optimization problem involves portfolio rebalancing decisions in response to new information on market future prices of the risky assets. Rebalancing decisions are manifested in the revision of holdings through sales and purchases of assets. We assu...