In this book, we consider the static problem of portfolio selection in highly volatile markets. From the point of view of risk forecasting, we focus on expected tail loss (ETL) and the more general family of spectral risk measures when the underlying distribution is heavy-tailed. From an optimization perspective, we concentrate on objectives of reward-risk ratio type and how the optimization problem can be simplified depending on the properties of the risk and the reward measures. Finally, we explore the impact of a risk forecasting model, that is a combination of a distributional assumption...