Portfolio optimization with two quasiconvex risk measures

DOI10.3906/mat-2012-45zbMath1492.91320arXiv2012.06173OpenAlexW3142142054MaRDI QIDQ5100236

Çağın Ararat

Publication date: 29 August 2022

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.06173

zbMATH Keywords

portfolio optimizationLagrange dualitybisection methodminimal penalty functionmaximal risk functionquasiconvex risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Portfolio theory (91G10)

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