Optimization of expected shortfall on convex sets

DOI10.1007/S10986-013-9218-4MaRDI QIDQ889467zbMATH OpenOpenAlexFDO

Authors Christos E. Kountzakis

Publication date 6 November 2015

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-013-9218-4

zbMATH Keywords

coherent risk measuresexpectation-bounded risk measuresexpected shortfallsaddle-pointssubgradient

Mathematics Subject Classification ID

Ordered normed spaces (46B40) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• Coherent risk measures and good-deal bounds
• Expected shortfall and beyond
• scientific article; zbMATH DE number 3955816 (Why is no real title available?)
• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• On convex risk measures on \(L^{p}\)-spaces
• On efficient portfolio selection using convex risk measures
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• On the optimal risk allocation problem
• Optimality conditions in portfolio analysis with general deviation measures
• Ordered linear spaces
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(1)

• Dynamic Minimization of Worst Conditional Expectation of Shortfall

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