While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelmi

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification

In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective

Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on iden

This survey of portfolio theory, from its modern origins through more sophisticated, “postmodern” incarnations, evaluates portfolio risk according to the fi