Convex risk measures for portfolio optimization and concepts of flexibility
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Publication:2576735
DOI10.1007/s10107-005-0628-xzbMath1094.91033MaRDI 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
90C25: Convex programming
90C31: Sensitivity, stability, parametric optimization
52A41: Convex functions and convex programs in convex geometry
91G10: Portfolio theory
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Cites Work
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