On the solution uniqueness in portfolio optimization and risk analysis
From MaRDI portal
Publication:6649933
DOI10.1142/s0219024924500195MaRDI QIDQ6649933
Andrzej Palczewski, Bogdan Grechuk, Jan Palczewski
Publication date: 6 December 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Could not fetch data.
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Inverse portfolio problem with coherent risk measures
- Synergy effect of cooperative investment
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Weighted V\@R and its properties
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Decision making under uncertainty in electricity markets
- Robust portfolios: contributions from operations research and finance
- Black-Litterman model for continuous distributions
- Mean-VaR portfolio optimization: a nonparametric approach
- Direct data-based decision making under uncertainty
- Dentability and extreme points in Banach spaces
- Extended gradient of convex function and capital allocation
- Generalized deviations in risk analysis
- Optimality conditions in portfolio analysis with general deviation measures
- Inverse portfolio problem with mean-deviation model
- Minkowski deviation measures
- Stochastic Finance
- Maximum Entropy Principle with General Deviation Measures
- Law invariant risk measures have the Fatou property
- Inverse Optimization: A New Perspective on the Black-Litterman Model
- COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
- Convex Analysis
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- Risk and asset allocation.
- Optimal insurance with mean-deviation measures
This page was built for publication: On the solution uniqueness in portfolio optimization and risk analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6649933)