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On efficient portfolio selection using convex risk measures

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Abstract

In this article we systematically revisit the classic portfolio selection theory in both of its branches, the determination of the efficient financial positions among such a choice set and the selection of the financial position which maximizes some utility function whose functional form involves some ‘measure of risk’. We study these problems by considering certain classes of convex risk measures and we show that for these classes the solution of the utility maximization problems in reflexive spaces take the form of a zero-sum game between the investor and the market.

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Authors and Affiliations

  1. Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, 83, 200, Samos, Greece

    Christos E. Kountzakis

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  1. Christos E. Kountzakis
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Correspondence to Christos E. Kountzakis.

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Kountzakis, C.E. On efficient portfolio selection using convex risk measures. Math Finan Econ 4, 223–252 (2011). https://doi.org/10.1007/s11579-011-0043-4

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  • DOI: https://doi.org/10.1007/s11579-011-0043-4

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