We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk
is captured by the “Foster–Hart risk”—a new, bankruptcy-proof, reserve based measure of …

Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new
economic performance measure (EPM), which is well known to have advantages over other …

Foster and Hart (2009) introduce an objective measure of the riskiness of an asset that
implies a bound on how much of one's wealth is 'safe'to invest in the asset while (as) …

Good decisions account for risks. For example, the risk of an accident while driving in the
rain makes a reasonable driver decide to slow down. While risk is a large topic in theoretical …

The measurement of financial risk relies on two factors: determination of riskiness by use of
an appropriate risk measure; and the distribution according to which returns are governed …

We compare Bitcoin performance based on the Aumann and Serrano performance index
and Sharpe ratio assuming that asset returns follow the class of discrete normal mixture …

In this paper, we develop an exact closed-form series expansion for the economic index of
riskiness of general gambles in terms of moments information. Important special cases …

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We examine the effectiveness of Foster-Hart optimization for currency portfolios. Compared
to stock trading, short selling is quite common in currency trading. Combining long and short …

For two actions in a decision problem, a and b, each of which that produces a state-
dependent monetary reward, we study how to robustly make action a more attractive. Action …