Acciaio, Beatrice; Goldammer, Verena - In: Decisions in Economics and Finance 36 (2013) 1, pp. 1-21
We consider conditional convex risk measures on L <Superscript> p </Superscript> and show their robust representation in a standard way. Such measures are used as evaluation functionals for optimal portfolio selection in a Black&Scholes setting. We study this problem focusing on the conditional Average Value at Risk and...</superscript>