On the solution uniqueness in portfolio optimization and risk analysis

DOI10.1142/S0219024924500195MaRDI QIDQ6649933zbMATH OpenFDO

Authors Bogdan Grechuk, Andrzej Palczewski, Jan Palczewski

Publication date 6 December 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024924500195

zbMATH Keywords

Black-Litterman modelcooperative investmentportfolio optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Convex Analysis
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• Decision making under uncertainty in electricity markets
• Dentability and extreme points in Banach spaces
• Direct data-based decision making under uncertainty
• Extended gradient of convex function and capital allocation
• Generalized deviations in risk analysis
• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• Inverse optimization: a new perspective on the Black-Litterman model
• Inverse portfolio problem with coherent risk measures
• Inverse portfolio problem with mean-deviation model
• Law invariant convex risk measures
• Law invariant risk measures have the Fatou property
• Maximum entropy principle with general deviation measures
• Mean-VaR portfolio optimization: a nonparametric approach
• Minkowski deviation measures
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• Optimality conditions in portfolio analysis with general deviation measures
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Risk and asset allocation.
• Robust portfolios: contributions from operations research and finance
• Stochastic finance. An introduction in discrete time.
• Synergy effect of cooperative investment
• Weighted V\@R and its properties

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