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4 questions
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How can I show convexity of this risk function?
I have the following risk function:
$\mathbf{Risk}(x):=\mathbb{E}[R(x)]+\delta\mathbb{E}[|R(x)-\mathbb{E}[R(x)]|]$
where $R(x)$ is the portfolio return and $\delta$ is any positive scalar. My textbook ...
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-1
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1
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Question in convex arbitrage [closed]
In convex arbitrage, we say that if the convexity of call(put) price as a function of the strike is violated, we can have arbitrage strategy. For instance,
$$
C_{K_2}\geq \lambda C_{K_1}+(1-\lambda) ...
- 3
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2
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Why is portfolio optimization a convex problem if variance is concave?
Variance is concave, so portfolio risk must be too.
The mean-variance model employs quadratic programming to optimize (minimize) portfolio risk. My understanding is that quadratic programming requires ...
- 3,090
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Convex risk measure and a coherent risk measure?
A coherent risk measure is:
$\rho(\lambda X_1+(1-\lambda X_2))$
How can it be shown that everey convex risk measure is indeed a coherent risk measure?
I assume that it is enough to show that a ...
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