Some remarks on the generalized mean upper/lower semideviations of order p from a target

zbMATH Open1389.90253MaRDI QIDQ5367117FDOQ5367117

Authors: Alina-Ramona Baias 

Publication date: 12 October 2017

Recommendations

• Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
• Generalized deviations in risk analysis
• Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
• Portfolio optimization by a bivariate functional of the mean and variance
• From stochastic dominance to mean-risk models: Semideviations as risk measures

zbMATH Keywords

conjugate functionsdual representationconvex risk functionssemideviations of order \(p\)

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Duality theory (optimization) (49N15)

Cited In (2)

• Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
• On lower partial moments for the investment portfolio with variance-gamma distributed returns

This page was built for publication: Some remarks on the generalized mean upper/lower semideviations of order \(p\) from a target

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5367117)