We consider conditional convex risk measures on L^p and show their robust representation in a standard way. Such measures are used as evaluation functionals for optimal portfolio selection in a Black&Scholes setting. We study this problem focusing on the conditional Average Value at Risk and the conditional entropic risk measure, and compare the respective optimizers.
Optimal portfolio selection via conditional convex risk measures on L^p
ACCIAIO, BEATRICE;
2011
Abstract
We consider conditional convex risk measures on L^p and show their robust representation in a standard way. Such measures are used as evaluation functionals for optimal portfolio selection in a Black&Scholes setting. We study this problem focusing on the conditional Average Value at Risk and the conditional entropic risk measure, and compare the respective optimizers.File in questo prodotto:
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