4 papers
Portfolio optimization with two quasiconvex risk measures
Çağın Ararat
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled i…
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
Portfolio optimization with two coherent risk measures
Tahsin Deniz Aktürk, Çağın Ararat
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for po…
Lower cone distribution functions and set-valued quantiles form Galois connections
Cagin Ararat, Andreas H Hamel
It is shown that the recently introduced lower cone distribution function and the associated set-valued multivariate quantile generate a Galois connection between a complete lattic…