The optimal portfolio problem with coherent risk measure constraints-Reference-Cited by-同舟云学术

The optimal portfolio problem with coherent risk measure constraints

Published:2003-11 Issue:3 Volume:150 Page:572-584
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Benati Stefano

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference25 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. S. Benati, The use of linear programming in the theory of the coherent risk measures, DISA Working paper, University of Trento, 2001

3. S. Benati, The computation of the worst conditional expectation, DISA Working paper, University of Trento, 2002

4. Strategic asset allocation;Brennan;Journal of Economic Dynamics and Control,1997

5. M. Cestari, Modelli di ottimizzazione dei portafogli finanziari in base a misure coerenti di rischio, Master Dissertation on Economics, Faculty of Trento, Italy, 2000

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