Minimax strategies and duality with applications in financial mathematics
type: Item
instance of: scholarly article
title: Minimax strategies and duality with applications in financial mathematics
zbMATH Open document ID: 1260.91265
author: Raquel Balbás
author: Alejandro Balbás
published in: Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
publication date: 2012-12-05T00:00:00Z
full work available at URL: http://hdl.handle.net/10016/18149
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C47
zbMATH DE Number: 6112709
zbMATH Keywords: optimization in Banach spaces
zbMATH Keywords: min-max strategies
zbMATH Keywords: duality
zbMATH Keywords: applications in actuarial and financial mathematics
MaRDI profile type: Publication
OpenAlex ID: W1995468436
cites work: Q3770273
cites work: Coherent measures of risk
cites work: Minimizing measures of risk by saddle point conditions
cites work: Extending pricing rules with general risk functions
cites work: Optimal reinsurance with general risk measures
cites work: Hedging interest rate risk by optimization in Banach spaces
cites work: A minimax risk strategy for portfolio immunization
cites work: Ambiguous Risk Measures and Optimal Robust Portfolios
cites work: Q3811988
cites work: Martingales and arbitage in securities markets with transaction costs
cites work: A Smooth Model of Decision Making under Ambiguity
cites work: Q5566063
cites work: Conditional value at risk and related linear programming models for portfolio optimization
cites work: A note on Shiu-Fisher-Weil immunization theorem
cites work: Efficient hedging with coherent risk measure
cites work: Lectures on Choquet's theorem
cites work: Generalized deviations in risk analysis
cites work: Q4340096
cites work: Optimization of Convex Risk Functions
cites work: The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
cites work: Optimal investments for risk- and ambiguity-averse preferences: a duality approach
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
DOI: 10.1007/S13398-011-0038-2
description: scientific article; zbMATH DE number 6112709