Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)

DOI10.1007/S10203-011-0120-4zbMath1268.91160OpenAlexW2052765434MaRDI QIDQ354666

Beatrice Acciaio, Verena Goldammer

Publication date: 19 July 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0120-4

zbMATH Keywords

conditional convex risk measuresconstant mix strategiesportfolio selection problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Maximum Lebesgue extension of monotone convex functions ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

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