Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm

DOI10.1016/j.ejor.2007.09.028zbMath1157.91350OpenAlexW2011949903MaRDI QIDQ1011192

Silvia Mayoral, Raquel Balbás, Alejandro Balbas

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/13054

zbMATH Keywords

risk measureportfolio selectioninfinite-dimensional linear programmingdeviation measuresimplex-like method

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (10)

Market consistent valuations with financial imperfection ⋮ Hedging, Pareto optimality, and good deals ⋮ Good deals and compatible modification of risk and pricing rule: a regulatory treatment ⋮ Trade-off between robust risk measurement and market principles ⋮ A relative robust approach on expected returns with bounded CVaR for portfolio selection ⋮ Minimizing measures of risk by saddle point conditions ⋮ Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications ⋮ Optimal reinsurance with general risk measures ⋮ Objective comparisons of the optimal portfolios corresponding to different utility functions ⋮ Extending pricing rules with general risk functions

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