This paper describes a method for risk analysis based on the approach used in CRAMM, but instead of using discrete measures for threats and vulnerabilities and lookup tables to de...
[KLSX91] ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less than one. In this note, we explain a simple tr...
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...