Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

DOI10.1016/j.insmatheco.2011.08.002zbMath1235.91096OpenAlexW1993258514MaRDI QIDQ2427811

Zinoviy Landsman, Udi E. Makov

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.002

zbMATH Keywords

value-at-riskelliptical familytail condition expectationminimization of root of quadratic functionalriskless componenttranslation-invariant and positive-homogeneous risk measure

Mathematics Subject Classification ID

Related Items (5)

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion ⋮ Minimization of a function of a quadratic functional with application to optimal portfolio selection ⋮ The location of a minimum variance squared distance functional ⋮ Multiperiod mean-standard-deviation time consistent portfolio selection ⋮ Tail variance of portfolio under generalized Laplace distribution

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• An approach to nonlinear programming
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Risk Measures and Comonotonicity: A Review
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Semi-parametric modelling in finance: theoretical foundations
• Another Proof that Convex Functions are Locally Lipschitz

This page was built for publication: Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component