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ArticleOptimality conditions in portfolio analysis with general deviation measures

Ralph Tyrrell Rockafellar2006

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Articlegreen2006

Optimality conditions in portfolio analysis with general deviation measures

Ralph Tyrrell Rockafellar · Stan Uryasev · Michael Zabarankin

120 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Advanced Optimization Algorithms Research

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 1962Portfolio Selection: Efficient Diversification of Investments.2002Spectral measures of risk: A coherent representation of subjective risk aversion 1977Capital market equilibrium in a mean-lower partial moment framework

Cited by

2008Properties of Distortion Risk Measures 2018Fuzzy Portfolio Optimization of Power Generation Assets 2013Capital Asset Pricing Model (CAPM) with drawdown measure 2008Risk Tuning with Generalized Linear Regression 2009Maximum Entropy Principle with General Deviation Measures 2012Diversification-consistent data envelopment analysis with general deviation measures

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Year2006

Typearticle

Published2006-04-25

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations120

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-006-0721-9

openalex_workW3122960119

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2007Equilibrium with investors using a diversity of deviation measures

2017Two-stage non-cooperative games with risk-averse players