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Mean‐ portfolio selection and ‐arbitrage for coherent risk measures - MaRDI portal

Mean‐ portfolio selection and ‐arbitrage for coherent risk measures (Q6054408)

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scientific article; zbMATH DE number 7743063
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English
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
scientific article; zbMATH DE number 7743063

    Statements

    title
    Mean‐ portfolio selection and ‐arbitrage for coherent risk measures (English)
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    arXiv ID
    2009.05498
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    DOI
    10.1111/mafi.12333
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    author
    Martin Herdegen
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    Q6054407
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    publication date
    28 September 2023
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    zbMATH DE Number
    7743063
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    zbMATH Keywords
    \( \rho \)-arbitrage
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    coherent risk measures
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    dual characterization
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    fundamental theorem of asset pricing
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    portfolio selection
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    OpenAlex ID
    W3190648115
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    cites work
    Q4209222
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    Q4550909
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    Q4552656
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    Q5706744
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    Q3528030
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    Q3149262
    0 references
     
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