Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)

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

zbMATH Keywords

conditional convex risk measures; constant mix strategies; portfolio selection problem

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals, Maximum Lebesgue extension of monotone convex functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Recent progress in random metric theory and its applications to conditional risk measures
• Dynamic monetary risk measures for bounded discrete-time processes
• Separation and duality in locally \(L^0\)-convex modules
• On convex risk measures on \(L^{p}\)-spaces
• Convex measures of risk and trading constraints
• Coherent multiperiod risk adjusted values and Bellman's principle
• Conditional and dynamic convex risk measures
• Coherent Measures of Risk
• Convex risk measures and the dynamics of their penalty functions
• The return on investment from proportional portfolio strategies
• Approaches to Conditional Risk
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• Convex Analysis
• Stochastic finance. An introduction in discrete time