Comparison of various risk measures for an optimal portfolio
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Publication:4989840
zbMATH Open1474.91180arXiv1912.09573MaRDI QIDQ4989840FDOQ4989840
Authors: Alev Meral 
Publication date: 26 May 2021
Full work available at URL: https://arxiv.org/abs/1912.09573
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value at riskportfolio optimizationBlack-Scholes modelmartingale methodexpected lossrisk constraintsexpected utility loss
Statistical methods; risk measures (91G70) Portfolio theory (91G10) Optimal stochastic control (93E20)
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- 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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