Robust portfolio selection under recovery average value at risk
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Publication:6496953
DOI10.1137/23M1555491MaRDI QIDQ6496953FDOQ6496953
Authors: Cosimo Munari, Justin Plückebaum, Stefan Weber 
Publication date: 6 May 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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risk measuresefficient frontieraverage value at riskdistribution uncertaintymean-risk portfolio selectionmean-risk optimal portfoliosrecovery average at riskrobust portfolio management
Cites Work
- Coherent measures of risk
- Minimax Theorems
- Worst-case conditional value-at-risk with application to robust portfolio management
- 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
- On the feasibility of portfolio optimization under expected shortfall
- Robust utility maximization with limited downside risk in incomplete markets
- Utility maximization under a shortfall risk constraint
- Equilibrium impact of value-at-risk regulation
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
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