Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
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Publication:1011192
DOI10.1016/J.EJOR.2007.09.028zbMATH Open1157.91350OpenAlexW2011949903MaRDI QIDQ1011192FDOQ1011192
Authors: Raquel Balbás, Silvia Mayoral, Alejandro Balbás 
Publication date: 8 April 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/13054
Recommendations
portfolio selectionrisk measureinfinite-dimensional linear programmingdeviation measuresimplex-like method
Cites Work
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Cited In (13)
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- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- Minimizing measures of risk by saddle point conditions
- Optimal reinsurance with general risk measures
- Market consistent valuations with financial imperfection
- Hedging, Pareto optimality, and good deals
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Trade-off between robust risk measurement and market principles
- Optimal portfolios with Haezendonck risk measures
- Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
- Extending pricing rules with general risk functions
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