… that is a proxy for the investor’s degree of risk aversion, and 2) the target rate of return that is
… than two parameters (see Ortobelli [2001]), but the choice problem becomes more complex. …

… satisfy in order to characterize an investor’s preferences. In particular, we propose some …
This analysis is the first step in understanding how to classify an investor’s risk. Risk is an asym…

… According to the analysis proposed by Ortobelli [28], it is possible to determine the optimal
choice for an investor under very weak distributional assumptions. For example, when all …

… ) number of different classifiers sets is learned from the dataset (… is proposed in which the
dataset is first clustered by the k-means method, after which the optimum number of clusters is …

… of the contract receives a fixed amount C in the case of the insured’s death. We assume
that the payment related to the effective death time is postponed to the first discrete time T i . …

… using (11) we obtain S scenarios for the vector of standardized innovations that is asymmetric
t-distributed. Denote these scenarios by (V 1 (s) , …,V 14 (s) ) for s=1, …, S and denote the …

… The major contribution of this paper is to provide a time-dependent risk (dispersion) measure
which is an alternative to the “accrued returns variability” (ARV) introduced by Ruttiens (see …

This paper analyzes and discusses the stable distributional approach in portfolio choice theory.
We consider different hypotheses of portfolio selection with stable distributed returns and…

… separation of Fama’s (1965b) model. Our model distinguishes itself from Götzenberger,
Rachev and Schwartz’s, as well as from the Simaan and Fama’s models because we consider …

This chapter discusses the parametric distributions of asset returns and proposes portfolio
choice models consistent with the maximization of the expected utility. We analyze multi-…