Ali Lari-Lavassani

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This paper investigates generic bifurcations from a D m-invariant equilibrium of a D m-symmetric dynamical system, for m = 3 or 4, near points of codimension-2 steady-state mode interactions. The center manifold is isomorphic to IR 3 or IR 4 and is non-irreducible. Depending on the group representation, in the unfolding of the linearization we nd:(More)
Portfolio optimization under downside risk while preserving the upside is of crucial importance to asset managers. In the Black-Scholes setting, we consider one such particular measure given by the notion of capital-at-risk. This paper generalizes the work of Emmer et al., 2001, to the case of time dependent parameters and investment strategies, i.e.,(More)
Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at(More)
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