Portfolio optimization with quasiconvex risk measures
Elisa Mastrogiacomo; Emanuela Rosazza Gianin
| Year of publication: |
2015
|
|---|---|
| Authors: | Mastrogiacomo, Elisabetta ; Rosazza Gianin, Emanuela |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 4, p. 1042-1059
|
| Subject: | quasiconvex risk measures | portfolio optimization | convex risk measures | efficient frontier | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Messung | Measurement | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011409050