Comparison of various risk measures for an optimal portfolio

MaRDI QIDQ4989840zbMATH OpenFDO

Authors Alev Meral

Publication date 26 May 2021

Full work available at URL https://arxiv.org/abs/1912.09573

zbMATH Keywords

value at riskportfolio optimizationBlack-Scholes modelmartingale methodexpected lossrisk constraintsexpected utility loss

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(12)

• scientific article; zbMATH DE number 5051698 (Why is no real title available?)
• Risk minimization in multi-factor portfolios: what is the best strategy?
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• Comparing value-at-risk and tail conditional expectation in shortfall-constrained portfolio selection
• scientific article; zbMATH DE number 5794550 (Why is no real title available?)
• A quantitative comparison of risk measures
• A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
• Equal risk bounding is better than risk parity for portfolio selection
• Comparison of different estimation techniques for portfolio selection
• Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
• Portfolio optimization with optimal expected utility risk measures
• Determining and Allocating Diversification Benefits for a Portfolio of Risks

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