Robust portfolio selection under recovery average value at risk

DOI10.1137/23M1555491MaRDI QIDQ6496953zbMATH OpenFDO

Authors Cosimo Munari, Justin Plückebaum, Stefan Weber

Publication date 6 May 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

risk measuresefficient frontieraverage value at riskdistribution uncertaintymean-risk portfolio selectionmean-risk optimal portfoliosrecovery average at riskrobust portfolio management

Mathematics Subject Classification ID

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

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Cites work

• Coherent measures of risk
• Equilibrium impact of value-at-risk regulation
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
• Minimax Theorems
• On the feasibility of portfolio optimization under expected shortfall
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal portfolios under a value-at-risk constraint
• Optimal risk sharing in insurance networks. An application to asset-liability management
• Robust utility maximization with limited downside risk in incomplete markets
• Utility maximization under a shortfall risk constraint
• Worst-case conditional value-at-risk with application to robust portfolio management

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