Portfolio Optimization with Quasiconvex Risk Measures

@article{Mastrogiacomo2015PortfolioOW,
  title={Portfolio Optimization with Quasiconvex Risk Measures},
  author={Elisa Mastrogiacomo and Emanuela Rosazza Gianin},
  journal={ERN: Other Microeconomics: General Equilibrium \& Disequilibrium Models of Financial Markets (Topic)},
  year={2015}
}
  • E. Mastrogiacomo, E. R. Gianin
  • Published 20 June 2013
  • Mathematics
  • ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)
In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by Gaivoronski and Pflug (2005), Rockafellar and Uryasev (2000) and Ruszczynski and Shapiro (2006), among others. Following the approach of Ruszczynski and Shapiro (2006) but by means of quasiconvex analysis and notions of subdifferentiability, we… 

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