ABSTRACT
Acknowledgement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
Appendix 13.A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
R ESEARCH AND PRACTICE OF PORTFOLIO management and optimization is driven to alarge extent by tailoring the measures of reward (satisfaction) and risk (unsatisfaction/regret) of the investment venture to the specific preferences of an investor. While
there exists a common consensus that an investment’s reward may be adequately
associated with its expected return, the methods for proper modelling and measurement
of an investment’s risk are subject to much more pondering and debate. In fact, the risk-
reward or mean-risk models constitute an important part of the investment science subject
and, more generally, the field of decision making under uncertainty.
