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

DOI10.1016/j.ejor.2007.09.028zbMath1157.91350MaRDI QIDQ1011192

Silvia Mayoral, Raquel Balbás, Alejandro Balbas

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

risk measure; portfolio selection; infinite-dimensional linear programming; deviation measure; simplex-like method

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Hedging, Pareto optimality, and good deals, Trade-off between robust risk measurement and market principles, Minimizing measures of risk by saddle point conditions, Optimal reinsurance with general risk measures, Objective comparisons of the optimal portfolios corresponding to different utility functions, Extending pricing rules with general risk functions, Market consistent valuations with financial imperfection, Good deals and compatible modification of risk and pricing rule: a regulatory treatment, 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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hedging interest rate risk by optimization in Banach spaces
• A minimax risk strategy for portfolio immunization
• Duality theory for infinite-dimensional multiobjective linear programming
• The optimal portfolio problem with coherent risk measure constraints.
• Convex measures of risk and trading constraints
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Efficient hedging with coherent risk measure
• Generalized deviations in risk analysis
• Optimality conditions in portfolio analysis with general deviation measures
• Optimization of a long-short portfolio under nonconvex transaction cost
• Coherent Measures of Risk
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Necessary conditions for min-max problems and algorithms by a relaxation procedure