摘要: In this article we systematically revisit the classic portfolio selection theory in both of its branches, determination efficient financial positions among such a choice set and position which maximizes some utility function whose functional form involves ‘measure risk’. We study these problems by considering certain classes convex risk measures show that for solution maximization reflexive spaces take zero-sum game between investor market.
springer.com
sci-hub.se 参考文章(33)
Sara Biagini, Marco Frittelli, On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures Optimality and Risk - Modern Trends in Mathematical Finance. pp. 1- 28 ,(2009) , 10.1007/978-3-642-02608-9_1
Graham Jameson, Ordered linear spaces Lecture Notes in Mathematics. pp. 1- 39 ,(1970) , 10.1007/BFB0059132
David G. Luenberger, Optimization by Vector Space Methods ,(1968)
Robert E. Megginson, An Introduction to Banach Space Theory ,(1998)
Freddy Delbaen, Coherent Risk Measures on General Probability Spaces Springer, Berlin, Heidelberg. pp. 1- 37 ,(2002) , 10.1007/978-3-662-04790-3_1
Owen Burkinshaw, Charalambos D. Aliprantis, Principles of Real Analysis ,(1998)
Theodor Precupanu, Viorel Barbu, Convexity and optimization in Banach spaces ,(1972)
Kim C Border, Charalambos D. Aliprantis, Infinite Dimensional Analysis: A Hitchhiker’s Guide Springer. ,(1994)
R. Tyrrell Rockafellar, Stanislav Uryasev, OPTIMIZATION OF CONDITIONAL VALUE-AT-RISK Journal of Risk. ,vol. 2, pp. 21- 41 ,(2000) , 10.21314/JOR.2000.038
Christos E. Kountzakis, Risk measures on ordered non-reflexive Banach spaces Journal of Mathematical Analysis and Applications. ,vol. 373, pp. 548- 562 ,(2011) , 10.1016/J.JMAA.2010.08.013