Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm

DOI10.1016/J.EJOR.2007.09.028MaRDI QIDQ1011192zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio selectionrisk measureinfinite-dimensional linear programmingdeviation measuresimplex-like method

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Optimality conditions in portfolio analysis with general deviation measures
• Optimization of a long-short portfolio under nonconvex transaction cost
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Cited in

(13)

• Trade-off between robust risk measurement and market principles
• Optimal portfolios with Haezendonck risk measures
• Extending pricing rules with general risk functions
• Hedging, Pareto optimality, and good deals
• Optimal reinsurance with general risk measures
• Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
• scientific article; zbMATH DE number 1834580 (Why is no real title available?)
• Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
• Minimizing measures of risk by saddle point conditions
• A relative robust approach on expected returns with bounded CVaR for portfolio selection
• Good deals and compatible modification of risk and pricing rule: a regulatory treatment
• Market consistent valuations with financial imperfection
• Objective comparisons of the optimal portfolios corresponding to different utility functions

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