Spectral coherent risk measures in the portfolio optimization problems

MaRDI QIDQ5507330zbMATH OpenFDO

Authors O. A. Galkina

Publication date 16 December 2016

zbMATH Keywords

investor strategyportfolio optimizationrisk measures

Mathematics Subject Classification ID

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

Recommendations

• Portfolio optimization based on spectral risk measures
• Investigation of multistage stochastic portfolio optimization problems
• Portfolio optimization with two coherent risk measures
• Optimization of risk measures
• Polyhedral coherent risk measures and investment portfolio optimization

Cited in

(6)

• The optimal portfolio problem with coherent risk measure constraints.
• Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Portfolio optimization based on spectral risk measures
• Investigation of multistage stochastic portfolio optimization problems
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

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