Risk measures in the portfolio optimization problems

MaRDI QIDQ2850337zbMATH OpenFDO

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)

zbMATH Keywords

varianceportfolioriskasset

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(28)

• Portfolio optimization using a new probabilistic risk measure
• Ambiguous Risk Measures and Optimal Robust Portfolios
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• Risk Measures and Efficient use of Capital
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Multistage risk premiums in portfolio optimization
• scientific article; zbMATH DE number 714490 (Why is no real title available?)
• Aumann-Serrano index of risk in portfolio optimization
• Quantile portfolio optimization under risk measure constraints
• A note on calculating the optimal risky portfolio
• The optimal portfolio problem with coherent risk measure constraints.
• Satisficing Measures for Analysis of Risky Positions
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• scientific article; zbMATH DE number 5051698 (Why is no real title available?)
• On the optimal risk allocation problem
• Portfolio optimization with quasiconvex risk measures
• Optimal Financial Portfolios
• Problem of selecting an optimal portfolio with a probabilistic risk function
• scientific article; zbMATH DE number 911786 (Why is no real title available?)
• scientific article; zbMATH DE number 1506039 (Why is no real title available?)
• Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
• Portfolio with optimal extension
• Portfolio optimization with disutility-based risk measure
• Construction of the time consistent efficient portfolio of the conditional risk values
• Risk-sensitive portfolio optimization problems with general nonnegative factor models
• scientific article; zbMATH DE number 5794550 (Why is no real title available?)
• Some properties for a portfolio optimization model
• Portfolio optimization under entropic risk management

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