ABSTRACT
No abstract available.
Recommendations
Digital Portfolio Theory
The Modern Portfolio Theory of Markowitz maximized portfolio expected return subject to holding total portfolio variance below a selected level. Digital Portfolio Theory is an extension of Modern Portfolio Theory, with the added dimension of memory. ...
Portfolio Choice with Illiquid Assets
We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk ...
Systemic Risk-Driven Portfolio Selection
How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Systemic Risk-...
We consider an investor who trades off tail risk and expected growth of the investment. We measure tail risk through the portfolio’s expected losses conditioned on the occurrence of a systemic event: financial market loss being exactly at, or at least at, ...
Comments