Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

Risk portfolio optimization, with translation-invariant and positive-homogeneous risk measures, leads to the problem of minimizing a combination of a linear functional and a square root of a quadratic functional for the case of elliptical multivariate underlying distributions.

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Year of publication:	2012
Authors:	Landsman, Zinoviy ; Makov, Udi
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 1, p. 94-98
Publisher:	Elsevier
Subject:	Riskless component \| Translation-invariant and positive-homogeneous risk measure \| Value-at-risk \| Tail condition expectation \| Minimization of root of quadratic functional \| Elliptical family

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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