Optimal portfolio selection via conditional convex risk measures on L p

Beatrice Acciaio () and Verena Goldammer

Decisions in Economics and Finance, 2013, vol. 36, issue 1, 21 pages

Abstract: We consider conditional convex risk measures on L p 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

Keywords: Conditional convex risk measures; Portfolio selection problem; Constant mix strategies; D81 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10203-011-0120-4

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