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

Zinoviy Landsman and Udi Makov

Insurance: Mathematics and Economics, 2012, vol. 50, issue 1, 94-98

Abstract: 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.

Keywords: Riskless component; Translation-invariant and positive-homogeneous risk measure; Value-at-risk; Tail condition expectation; Minimization of root of quadratic functional; Elliptical family (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:1:p:94-98

DOI: 10.1016/j.insmatheco.2011.08.002

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