Convex risk measures for portfolio optimization and concepts of flexibility
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Publication:2576735
DOI10.1007/s10107-005-0628-xzbMath1094.91033OpenAlexW1968250197MaRDI QIDQ2576735
Publication date: 14 December 2005
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/31176
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Cites Work
- Smooth minimization of non-smooth functions
- Convex measures of risk and trading constraints
- Coherent multiperiod risk adjusted values and Bellman's principle
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Optimality conditions in portfolio analysis with general deviation measures
- Coherent Measures of Risk
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