Minimizing measures of risk by saddle point conditions

DOI10.1016/J.CAM.2010.04.002MaRDI QIDQ984899zbMATH OpenOpenAlexFDO

Authors Beatriz Balbás, Raquel Balbás, Alejandro Balbás

Publication date 20 July 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.04.002

zbMATH Keywords

risk minimizationactuarial and financial conditionssaddle point condition

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Programming in abstract spaces (90C48) Financial applications of other theories (91G80)

Recommendations

• Minimax strategies and duality with applications in financial mathematics
• Optimization of risk measures
• Optimization of Convex Risk Functions
• Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
• Convex risk functionals: representation and applications

Cites work

• scientific article; zbMATH DE number 3230708 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• An optimization approach to the dynamic allocation of economic capital
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Dual Stochastic Dominance and Related Mean-Risk Models
• Efficient hedging with coherent risk measure
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• Generalized deviations in risk analysis
• Nonmonotonic Choquet integrals
• On convex principles of premium calculation
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance with general risk measures
• Optimality conditions in portfolio analysis with general deviation measures
• Optimization of Convex Risk Functions
• Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
• Risk measure and fair valuation of an investment guarantee in life insurance
• Robust Statistics
• Some new classes of consistent risk measures

Cited in

(12)

• Pricing and risk management of interest rate swaps
• Minimax strategies and duality with applications in financial mathematics
• Mini-Batch Risk Forms
• V@R representation theorems in ambiguous frameworks
• VaR as the CVaR sensitivity: applications in risk optimization
• Differential equations connecting VaR and CVaR
• Pareto efficient buy and hold investment strategies under order book linked constraints
• BENCHMARKED RISK MINIMIZATION
• Exhibiting abnormal returns under a risk averse strategy
• Vector risk functions
• Satisficing Measures for Analysis of Risky Positions
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result

This page was built for publication: Minimizing measures of risk by saddle point conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q984899)