Tag: Risk and Portfolio Optimization
VaR-constrained S-shaped utility problem has a critical wealth threshold
What the study found The study finds a critical wealth level that determines whether the constrained optimization problem is feasible. Above that level, the problem admits a unique optimal solution and Lagrange multiplier; below it, the problem is infeasible. Why the authors say this matters The authors suggest this matters because it clarifies when an…
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.
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.
