Optimality conditions in portfolio analysis with general deviation measures

DOI10.1007/s10107-006-0721-9zbMath1138.91474OpenAlexW3122960119MaRDI QIDQ2502213

Michael Zabarankin, Stan Uryasev, R. Tyrrell Rockafellar

Publication date: 12 September 2006

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-006-0721-9

zbMATH Keywords

stochastic optimizationoptimality conditionsrisk managementportfolio analysisconditional value-at-riskrisk envelopesrisk identifiersCAPM-like relationsGeneral deviation measuresgeneralized master funds

Mathematics Subject Classification ID

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