Optimal portfolio selection via conditional convex risk measures on Lp

被引：3
|
作者：
Acciaio B. [1 ]
Goldammer V. [2 ]
机构：
[1] Faculty of Mathematics, Vienna University, Nordbergstraße 15
[2] Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10
来源：
Decisions in Economics and Finance | 2013年 / 36卷 / 1期
关键词：
Conditional convex risk measures; Constant mix strategies; Portfolio selection problem;
D O I：
10.1007/s10203-011-0120-4
中图分类号：
学科分类号：
摘要：
We consider conditional convex risk measures on Lp 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. © 2011 Springer-Verlag.
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页码：1 / 21
页数：20
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