Abstract Factor analysis proposes an alternative approach to standard portfolio theory: the latter is optimisation based, while former estimation based. Also, in theory, returns are only explained by volatility factor, factor a multiplicity of factors, which managers can choose from tilt their portfolios. In attempting reconcile these worlds, we propose penalised utility function, incorporating...

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

Decision makers are often described as seeking higher expected payo¤s and avoiding higher variance in payo¤s. We provide some necessary and some su¢ cient conditions for learning rules, that assume the agent has little prior and feedback information about the environment, to re‡ect such preferences. We adopt the framework of Börgers, Morales and Sarin (2004, Econometrica) who provide similar re...