Risk measures in the portfolio optimization problems

zbMATH Open1289.91151MaRDI QIDQ2850337FDOQ2850337

Authors: O. A. Galkina 

Publication date: 26 September 2013

Published in: Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

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zbMATH Keywords

varianceportfolioriskasset

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (28)

• A note on calculating the optimal risky portfolio
• The optimal portfolio problem with coherent risk measure constraints.
• Aumann-Serrano index of risk in portfolio optimization
• Title not available (Why is that?)
• Ambiguous Risk Measures and Optimal Robust Portfolios
• Optimal Financial Portfolios
• Portfolio optimization with quasiconvex risk measures
• Title not available (Why is that?)
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Portfolio with optimal extension
• Risk Measures and Efficient use of Capital
• On the optimal risk allocation problem
• Problem of selecting an optimal portfolio with a probabilistic risk function
• Portfolio optimization with disutility-based risk measure
• Multistage risk premiums in portfolio optimization
• Title not available (Why is that?)
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• Title not available (Why is that?)
• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• Quantile portfolio optimization under risk measure constraints
• Some properties for a portfolio optimization model
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Title not available (Why is that?)
• Construction of the time consistent efficient portfolio of the conditional risk values
• Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
• Satisficing Measures for Analysis of Risky Positions
• Portfolio optimization using a new probabilistic risk measure
• Portfolio optimization under entropic risk management

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