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Optimal portfolio selection via conditional convex risk measures on L p

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  • Beatrice Acciaio
  • Verena Goldammer

Abstract

We consider conditional convex risk measures on L p and show their robust representation in a standard way. Such measures are used as evaluation functionals for optimal portfolio selection in a Black&Scholes setting. We study this problem focusing on the conditional Average Value at Risk and the conditional entropic risk measure and compare the respective optimizers. Copyright Springer-Verlag 2013

Suggested Citation

  • Beatrice Acciaio & Verena Goldammer, 2013. "Optimal portfolio selection via conditional convex risk measures on L p," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 1-21, May.
    • Handle: RePEc:spr:decfin:v:36:y:2013:i:1:p:1-21
    DOI: 10.1007/s10203-011-0120-4
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    References listed on IDEAS

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    1. Föllmer Hans & Penner Irina, 2006. "Convex risk measures and the dynamics of their penalty functions," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-36, July.
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    3. Tiexin Guo, 2010. "Recent progress in random metric theory and its applications to conditional risk measures," Papers 1006.0697, arXiv.org, revised Mar 2011.
    4. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    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, July.
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    Cited by:

    1. Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
    2. Damiano Rossello & Silvestro Lo Cascio, 2021. "A refined measure of conditional maximum drawdown," Risk Management, Palgrave Macmillan, vol. 23(4), pages 301-321, December.

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    More about this item

    Keywords

    Conditional convex risk measures; Portfolio selection problem; Constant mix strategies; D81;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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