Coherent risk measures and vector optimization

MaRDI QIDQ3437862zbMATH OpenFDO

Authors Frank Heyde

Publication date 10 May 2007

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(15)

• Characterization of Set Relations by Means of a Nonlinear Scalarization Functional
• A generalized scalarization method in set optimization with respect to variable domination structures
• Higher moment coherent risk measures
• Lagrange multipliers for \(\varepsilon \)-Pareto solutions in vector optimization with nonsolid cones in Banach spaces
• scientific article; zbMATH DE number 5926334 (Why is no real title available?)
• On the dual representation of coherent risk measures
• Lagrange necessary conditions for Pareto minimizers in Asplund spaces and applications
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• Nonlinear separation approach to inverse variational inequalities in real linear spaces
• Optimization of risk measures
• Nonlinear scalarization in multiobjective optimization with a polyhedral ordering cone
• Coherent Risk Measures Derived from Utility Functions
• Vector risk functions

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