Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm

The minimization of general risk functions is becoming more and more important in portfolio choice theory and optimal hedging. There are two major reasons. Firstly, heavy tails and the lack of symmetry in the returns of many assets provokes that the classical optimization of the standard deviation m...

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Veröffentlicht in:	European journal of operational research Jg. 192; H. 2; S. 603 - 620
Hauptverfasser:	Balbás, Alejandro, Balbás, Raquel, Mayoral, Silvia
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 16.01.2009 Elsevier Elsevier Sequoia S.A
Schriftenreihe:	European Journal of Operational Research
Schlagworte:	Algorithms Applied sciences Capital losses Deviation measure Exact sciences and technology Hedging Infinite-dimensional linear programming Linear programming Mathematical programming Operational research and scientific management Operational research. Management science Optimization algorithms Portfolio selection Portfolio theory Risk Risk measure Risk measure Deviation measure Portfolio selection Infinite-dimensional linear programming Simplex-like method Risk theory. Actuarial science Simplex-like method Stochastic models Studies Risk measure Portfolio selection Simplex-like method Deviation measure Infinite-dimensional linear programming Necessary and sufficient condition Optimization Stochastic dominance Stock exchange Minimax problem Standard deviation Dispersion measure Infinite dimension Symmetry Warranty Heavy tail Linear programming Capital Banach space Simplex method Risk factor Distribution tail Representation theory Risk management Portfolio management
ISSN:	0377-2217, 1872-6860
Online-Zugang:	Volltext
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