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R. T. Rockafellar, S. Uryasev and M. Zabarankin, “Master Funds in Portfolio Analysis with General Deviation Measures,” Journal of Banking and Finance, Vol. 30, No. 2, 2006, pp. 743-778. doi:10.1016/j.jbankfin.2005.04.004

has been cited by the following article:

• TITLE: General Markowitz Optimization Problems

  AUTHORS: George Stoica

  KEYWORDS: Markowitz Optimization Problems; Coherent Risk Measure; Tail Value at Risk

  JOURNAL NAME: Applied Mathematics, Vol.3 No.12A, December 31, 2012

  ABSTRACT: We solve two Markowitz optimization problems for the one-step financial model with a finite number of assets. In our results, the classical (inefficient) constraints are replaced by coherent measures of risk that are continuous from below. The methodology of proof requires optimization techniques based on functional analysis methods. We solve explicitly both problems in the important case of Tail Value at Risk.