A continuous selection for optimal portfolios under convex risk measures does not always exist

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Author
Baes, Michel
Munari, Cosimo
Date
2020-02
Type
    Journal Article
Publication status
published
External links
Journal / series
Mathematical Methods of Operations Research
Volume
91(1)
Pages / Article No.
5 - 23
Publisher
Springer
Subject
Risk measures; Portfolio selection; Perturbation analysis; Continuous selections
Organisational unit
09557 - Cheridito, Patrick / Cheridito, Patrick  
02204 - RiskLab / RiskLab  
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yes
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