Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm
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References listed on IDEAS
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA.
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- Yu, Bosco Wing-Tong & Pang, Wan Kai & Troutt, Marvin D. & Hou, Shui Hung, 2009. "Objective comparisons of the optimal portfolios corresponding to different utility functions," European Journal of Operational Research, Elsevier, vol. 199(2), pages 604-610, December.
- Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
- repec:bpj:jossai:v:3:y:2015:i:2:p:133-144:n:3 is not listed on IDEAS
- Balbás, Alejandro & Balbás, Raquel, 2009. "Compatibility between pricing rules and risk measures: the CCVaR," DEE - Working Papers. Business Economics. WB wb090201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Akhter Mohiuddin Rather, 2012. "Portfolio selection using mean-risk model and mean-risk diversification model," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(3), pages 324-342.
More about this item
KeywordsRisk measure Deviation measure Portfolio selection Infinite-dimensional linear programming Simplex-like method;
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