WebBirgit Rudloff Mihaela Yankova In this paper, the market extension of set-valued risk measures for models with proportional transaction costs is linked with set-valued risk minimization problems. WebDec 22, 2024 · Authors: Gabriela Kováčová, Birgit Rudloff, Igor Cialenco. Download PDF Abstract: The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem the acceptability maximization. First, we study the one-period (static) case ...
Acceptability Maximization
WebMar 1, 2024 · Risks and returns, price equilibria, or systemic risk – if a situation involves multiple criteria or actors, concepts such as the Nash equilibrium and Pareto... WebGabriela Kov a cova Birgit Rudlo Igor Cialencoy January 13, 2024 Abstract: The aim of this paper is to study the optimal investment problem by using coher-ent acceptability indices … t star limo memphis tn
Risk minimization and set-valued average value at risk via linear ...
WebDr. Birgit Rudloff. The successful candidate will become a member of the Vienna Graduate School on Computational Optimization. The duration of the employment is of 3 years with possibility of extension. The extent of employment is 30 hours per week. The annual gross salary is approximately 31,000 €. The planned start WebBirgit Rudloff, Vienna University of Economics and Business Title: Dynamic Programming for multivariate Problems Abstract: Multivariate risk measures appear naturally in … WebSep 8, 2024 · Total downloads of all papers by Birgit Rudloff. If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 … phlebotomists school