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Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity.

Mario BrandtnerWolfgang KürstenRobert Rischau
Published in: Eur. J. Oper. Res. (2018)
Keyphrases
  • portfolio selection
  • risk measures
  • portfolio optimization
  • robust optimization
  • portfolio management
  • multiple objectives
  • financial markets
  • transaction costs
  • dynamic programming