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The optimal portfolio problem with coherent risk measure constraints

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  • Benati, Stefano
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 150 (2003)
    Issue (Month): 3 (November)
    Pages: 572-584

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    Handle: RePEc:eee:ejores:v:150:y:2003:i:3:p:572-584

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    Web page: http://www.elsevier.com/locate/eor

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    Cited by:
    1. Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, vol. 176(1), pages 423-434, January.
    2. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
    3. Marisa Cenci & Floriana Filippini, 2005. "Portfolio Selection with minimum transaction lots: an approach with dual expected utility," Departmental Working Papers of Economics - University 'Roma Tre' 0050, Department of Economics - University Roma Tre.
    4. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
    5. Ji Cao & Marc Rieger, 2013. "Risk classes for structured products: mathematical aspects and their implications on behavioral investors," Annals of Finance, Springer, vol. 9(2), pages 167-183, May.
    6. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika, Springer, vol. 76(8), pages 1105-1134, November.
    7. Alejandro Balbás & Beatriz Balbás & Antonio Heras, 2010. "Stability of the optimal reinsurance with respect to the risk measure," Business Economics Working Papers wb100201, Universidad Carlos III, Departamento de Economía de la Empresa.
    8. Balbás, Alejandro & Balbás, Raquel & Mayoral, Silvia, 2009. "Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm," European Journal of Operational Research, Elsevier, vol. 192(2), pages 603-620, January.
    9. Borgonovo, Emanuele & Gatti, Stefano, 2013. "Risk analysis with contractual default. Does covenant breach matter?," European Journal of Operational Research, Elsevier, vol. 230(2), pages 431-443.

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