Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

DOI10.1016/j.insmatheco.2011.08.002zbMath1235.91096OpenAlexW1993258514MaRDI QIDQ2427811

Zinoviy Landsman, Udi E. Makov

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.002

zbMATH Keywords

value-at-riskelliptical familytail condition expectationminimization of root of quadratic functionalriskless componenttranslation-invariant and positive-homogeneous risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (5)

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion ⋮ Minimization of a function of a quadratic functional with application to optimal portfolio selection ⋮ The location of a minimum variance squared distance functional ⋮ Multiperiod mean-standard-deviation time consistent portfolio selection ⋮ Tail variance of portfolio under generalized Laplace distribution

Cites Work

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• Risk Measures and Comonotonicity: A Review
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Semi-parametric modelling in finance: theoretical foundations
• Another Proof that Convex Functions are Locally Lipschitz

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