Focal Interest
Focal Interest

Risk and Portfolio Optimization

External reference: https://openalex.org/T11413

  1. VaR-constrained S-shaped utility problem has a critical wealth threshold
  2. Probabilistic branch-and-bound can approximate Pareto-optimal sets
  3. Optimal portfolio proportions were computed for Nifty 50 stocks
    Empirical study constructing optimal portfolios using Sharpe's Single Index Model on NIFTY 50 stocks, analyzing risk-return characteristics and optimal investment allocations.
  4. Expectiles can minimize basis risk in parametric insurance
    Expectiles characterize basis risk-optimal payment schemes in parametric insurance contracts, minimizing asymmetric loss functions while retaining operational efficiency.