Portfolio optimization with two coherent risk measures-Reference-Cited by-同舟云学术

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Portfolio optimization with two coherent risk measures

Published:2020-07-10 Issue:3 Volume:78 Page:597-626
ISSN:0925-5001
Container-title:Journal of Global Optimization
language:en
Short-container-title:J Glob Optim

Author:

Aktürk Tahsin Deniz,Ararat Çağın^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization,Computer Science Applications

Link

https://link.springer.com/content/pdf/10.1007/s10898-020-00922-y.pdf

Reference18 articles.

1. Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Math. Finance 9(3), 203–228 (1999)

2. Barahona, F., Anbil, R.: The volume algorithm: producing primal solutions with a subgradient method. Math. Program. 87(3), 385–399 (2000)

3. Borwein, J.M., Lewis, A.S.: Partially finite convex programming, Part I: quasi relative interiors and duality theory. Math. Program. 57(1), 15–48 (1992)

4. Capiński, M., Zastawniak, T.: Mathematics for Finance, 2nd edn. Springer, London (2011)

5. De Gruyter Textbook Series;H Föllmer,2016

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1. Cooperative Investment Problem With an Authoritative Risk Determined by Central Bank;International Journal of Analysis and Applications;2024-01-08

2. Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models;Annals of Operations Research;2023-05-30

3. Cooperative investment problem with an authoritative risk determined by Central Bank;Annals of Mathematics and Physics;2022-08-30

4. Portfolio optimization with two quasiconvex risk measures;TURKISH JOURNAL OF MATHEMATICS;2021-03-26

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