Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
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Publication:354666
DOI10.1007/s10203-011-0120-4zbMath1268.91160MaRDI QIDQ354666
Beatrice Acciaio, Verena Goldammer
Publication date: 19 July 2013
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-011-0120-4
91G10: Portfolio theory
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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals, Maximum Lebesgue extension of monotone convex functions
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