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

MaRDI QIDQ5367117zbMATH OpenFDO

Authors Alina-Ramona Baias

Publication date 12 October 2017

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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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

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