OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

DOI10.1111/j.1467-9965.2007.00335.xzbMath1145.91042OpenAlexW2076792290MaRDI QIDQ5459961

Johannes Leitner

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00335.x

zbMATH Keywords

risk measuresconvex analysislower partial momentsconstraint portfolio optimizationrisk optimal martingale measure

Mathematics Subject Classification ID

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