The optimal portfolio problem with coherent risk measure constraints

  • Stefano Benati
  • Published 2003 in European Journal of Operational Research


One of the basic problems of applied finance is the optimal selection of stocks, with the aim of maximizing future returns and constraining risks by an appropriate measure. Here, the problem is formulated by finding the portfolio that maximizes the expected return, with risks constrained by the worst conditional expectation. This model is a straightforward… (More)
DOI: 10.1016/S0377-2217(02)00785-3


6 Figures and Tables