On efficient portfolio selection using convex risk measures
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Publication:1932548
DOI10.1007/s11579-011-0043-4zbMath1255.91392MaRDI QIDQ1932548
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-011-0043-4
zero-sum games; efficiency frontier; efficient financial positions; Markowitz-type problems; utility-type problems
91A10: Noncooperative games
46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics
46B10: Duality and reflexivity in normed linear and Banach spaces
91G10: Portfolio theory
46B40: Ordered normed spaces
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