2 papers
math.OC2021
Convex Projection and Convex Multi-Objective Optimization
Gabriela Kováčová, Birgit Rudloff
In this paper we consider a problem, called convex projection, of projecting a convex set onto a subspace. We will show that to a convex projection one can assign a particular mult…
q-fin.MF2018
Time consistency of the mean-risk problem
Gabriela Kováčová, Birgit Rudloff
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and…