A. S. Cherny, “Pricing with Coherent Risk,” Theory of Probability and Its Applications, Vol. 52, No. 3, 2008, pp. 389-415. doi:10.1137/S0040585X97983158
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.