A Network Approach to Risk Theory and Portfolio Selection

DOI10.1007/978-3-319-50234-2_6zbMATH Open1383.91002OpenAlexW2779080344MaRDI QIDQ4609751FDOQ4609751

Claudio Lupi, Roy Cerqueti

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/32acf07352b10aaedce1a5ea9acf286c3d260cb956ad70c17d57ed930bad2370/142422/CerquetiLupi_Springer_MAF2016%20REVISION.pdf

zbMATH Keywords

portfolio selectionrisk theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Mean-variance approximations to expected utility
• Mean-variance portfolio selection in presence of infrequently traded stocks
• Optimum consumption and portfolio rules in a continuous-time model
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach
• Markowitz's model with Euclidean vector spaces
• Non-exchangeable copulas and multivariate total positivity
• Extension of dependence properties to semi-copulas and applications to the mean-variance model

Cited In (1)

• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

This page was built for publication: A Network Approach to Risk Theory and Portfolio Selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4609751)