This paper surveys the most recent advances in the context of decision making under
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …

Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

From the mathematical perspective considered in this tutorial, risk management is a
procedure for shaping a risk distribution. Popular functions managing risk are value-at-risk …

The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-
Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns …

An approach to the Shannon and Rényi entropy maximization problems with constraints on
the mean and law-invariant deviation measure for a random variable has been developed …

We propose new efficiency tests which are based on traditional DEA models and take into
account portfolio diversification. The goal is to identify the investment opportunities that …

By using a different derivation scheme, a new class of two-sided coherent risk measures is
constructed in this paper. Different from existing coherent risk measures, both positive and …

Abstract The Black–Litterman methodology of portfolio optimization, developed at the turn of
the 1990s, combines statistical information on asset returns with investor's views within the …

Dynamic changes and multi-dimensional evolution of portfolio optimization Page 1 Full
Terms & Conditions of access and use can be found at https://www.tandfonline.com/action/journalInformation?journalCode=rero20 …

Mean‐deviation analysis, along with the existing theories of coherent risk measures and
dual utility, is examined in the context of the theory of choice under uncertainty, which …