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ArticleConvex risk measures for portfolio optimization and concepts of flexibility

Hans-Jakob Lüthi2005

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Articlegreen2005

Convex risk measures for portfolio optimization and concepts of flexibility

Hans-Jakob Lüthi · Jörg Doege

48 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Optimization and Variational Analysis Advanced Optimization Algorithms Research

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2002On the coherence of expected shortfall 2002Convex measures of risk and trading constraints 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes 2002Measures of risk

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2007Risk-adjusted probability measures in portfolio optimization with coherent measures of risk 2012Portfolio-optimization models for small investors 2012Optimization Under Probabilistic Envelope Constraints 2013Fast gradient descent method for Mean-CVaR optimization

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Year2005

Typearticle

Published2005-07-14

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations48

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-005-0628-x

openalex_workW1968250197

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