Multi-portfolio time consistency for set-valued convex and coherent risk measures.
Zachary FeinsteinBirgit RudloffPublished in: Finance Stochastics (2015)
Keyphrases
- set valued
- risk measures
- portfolio optimization
- lipschitz continuity
- portfolio selection
- variational inequalities
- dominance relation
- belief functions
- convex optimization
- robust optimization
- risk averse
- decision making
- real numbers
- genetic algorithm
- convex sets
- portfolio management
- problems involving
- convex hull
- rough sets