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The optimal portfolio problem with coherent risk measure constraints


  • Benati, Stefano


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  • Benati, Stefano, 2003. "The optimal portfolio problem with coherent risk measure constraints," European Journal of Operational Research, Elsevier, vol. 150(3), pages 572-584, November.
  • Handle: RePEc:eee:ejores:v:150:y:2003:i:3:p:572-584

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    References listed on IDEAS

    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53(1), pages 267-284, February.
    3. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    4. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    7. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
    8. Maranas, C. D. & Androulakis, I. P. & Floudas, C. A. & Berger, A. J. & Mulvey, J. M., 1997. "Solving long-term financial planning problems via global optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1405-1425, June.
    9. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
    10. Konno, Hiroshi & Kobayashi, Katsunari, 1997. "An integrated stock-bond portfolio optimization model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1427-1444, June.
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    Cited by:

    1. 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.
    2. Ji Cao, 2017. "How does the underlying affect the risk-return profiles of structured products?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 27-47, February.
    3. 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.
    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. Soleimani, Hamed & Govindan, Kannan, 2014. "Reverse logistics network design and planning utilizing conditional value at risk," European Journal of Operational Research, Elsevier, vol. 237(2), pages 487-497.
    6. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    7. repec:eee:ejores:v:264:y:2018:i:2:p:707-716 is not listed on IDEAS
    8. Heras, Antonio & Balbás, Alejandro & Balbás, Beatriz, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    9. 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.
    10. 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.
    11. 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.
    12. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 66(2), pages 75-115, April.
    13. 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.
    14. 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: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.

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