Conic portfolio theory (Q2806366)

The model considers as its primitive a convex cone of random variable, so-called acceptable risks, containing positive random variables. This is equivalently defined as the set of all random variables which have non negative expectation by each probability out of a corresponding convex set. This convex set induces a bid and an ask valuation operator. Under some conditions the bid valuation is representable via distorted distribution. Some parametric distortion function are proposed. Some optimal portfolios are constructed.