Set optimization of set-valued risk measures

DOI10.1007/s10479-020-03541-8zbMath1461.91282OpenAlexW3008134478MaRDI QIDQ828851

Matteo Rocca, Elisa Mastrogiacomo

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03541-8

zbMATH Keywords

portfolio optimizationvalue at riskaverage value at riskset-valued risk measuresset-optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Set-valued functions (26E25) Portfolio theory (91G10)

Related Items (1)

A New Topological Framework and Its Application to Well-Posedness in Set-Valued Optimization

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