Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis

DOI10.1080/14697688.2020.1856912MaRDI QIDQ5014233zbMATH OpenOpenAlexFDO

Authors Kerstin Bergk, Mario Brandtner, Wolfgang Kürsten

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1856912

zbMATH Keywords

portfolio selectionrisk managementconditional value-at-riskaxiomatic risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

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• The Introduction of Risk into a Programming Model

Cited in

(1)

• Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500

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