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

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Autor(in)
Baes, Michel
Munari, Cosimo
Datum
2020-02
Typ
    Journal Article
Publikationsstatus
published
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Zeitschrift / Serie
Mathematical Methods of Operations Research
Band
91(1)
Seiten / Artikelnummer
5 - 23
Verlag
Springer
Thema
Risk measures; Portfolio selection; Perturbation analysis; Continuous selections
Organisationseinheit
09557 - Cheridito, Patrick / Cheridito, Patrick  
02204 - RiskLab / RiskLab  
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yes
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