When Minimizing Risk Allows Zero Wealth
TL;DR for operators A portfolio-risk team can minimize a downside-risk measure while leaving the most severe losses outside its protection. The critical design choice is which probability-ranked outcomes enter the objective. In Dynamic Portfolio Selection under Range Value-at-Risk with Logarithmic Returns, Hui Mi, Yuzhe Pan, and Zuo Quan Xu (2026)1 show that pure minimization of Range Value-at-Risk (RVaR) can assign zero terminal wealth to sufficiently adverse market states when the measure excludes the lowest return quantiles. Their main theoretical contribution identifies two distinct optimal-payoff structures and derives corresponding dynamic strategies. ...