Optimal portfolio selection via conditional convex risk measures on L <Superscript> p </Superscript>

We consider conditional convex risk measures on L <Superscript> p </Superscript> 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

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Year of publication:	2013
Authors:	Acciaio, Beatrice ; Goldammer, Verena
Published in:	Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 36.2013, 1, p. 1-21
Publisher:	Springer
Subject:	Conditional convex risk measures \| Portfolio selection problem \| Constant mix strategies

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010993491