Utility functions offer a means to encode objectives and preferences in investor portfolios.
The functions allow one to place a score on outcomes and then identify optimal portfolios by …

This study investigates both conventional and Islamic investors' problems as to whether the
inclusion of Islamic and conventional asset classes may expand the frontier of their …

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has
triggered stock market shocks. As a result of this situation, investors prefer to move their …

In order to be resilient to unmodeled risks, an investment management process needs to
incorporate a discipline of continuous scenario analysis. The authors describe the essential …

A common conundrum faced by most people approaching retirement is the amount of
money they can safely withdraw from their retirement portfolio without the risk of depleting …

Investment risk is addressed from the perspective of long-term investors, with key concepts
being discussed and methods outlined for evaluating risk over long horizons. The main …

Optimal portfolios have historically been computed using standard deviation as a risk
measure. However, extreme market events have become the rule rather than the exception …

Standard Deviation is a commonly used risk measures in risk management and portfolio
optimization. Optimal portfolios have normally been computed using standard deviation as …

We introduce a scenario based allocation model (SBAM) that uses entropy pooling for
computing scenario probabilities. Compared to most other models that allow the investor to …

Het opkomende populisme in Europa en de beleidsagenda van de nieuwe Amerikaanse
regering geven beleggers kopzorgen. Deze beleggingsrisico's zijn voornamelijk politiek van …