General deviation measures are introduced and studied systematically for their potential
applications to risk management in areas like portfolio optimization and engineering. Such …

Markowitz formulated the portfolio optimization problem through two criteria: the expected
return and the risk, as a measure of the variability of the return. The classical Markowitz …

This book is the first in the market to treat single-and multi-period risk measures (risk
functionals) in a thorough, comprehensive manner. It combines the treatment of properties of …

Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk
measures in risk management. Compared to VaR, CVaR is attractive since it is a coherent …

The allocation of resources to alternative investment opportunities is one of the most
important decisions organisations and individuals face. These decisions can be guided by …

Many risk measures have been recently introduced which (for discrete random variables)
result in Linear Programs (LP). While some LP computable risk measures may be viewed as …

This book is intended for researchers and practitioners as a foundation for modern parallel
computing with several of its important parallel applications, and also for students as a basic …

In this paper, we study extensions of the classical Markowitz mean-variance portfolio
optimization model. First, we consider that the expected asset returns are stochastic by …

In this paper, we consider an extension of the Markovitz model, in which the variance has
been replaced with the Value-at-Risk. So a new portfolio optimization problem is formulated …

Portfolio theory was first developed by Harry Markowitz in the 1950s. His work, which was
extended by several researchers, provides the foundation of the so-called modern portfolio …