h1

% IMPORTANT: The following is UTF-8 encoded.  This means that in the presence
% of non-ASCII characters, it will not work with BibTeX 0.99 or older.
% Instead, you should use an up-to-date BibTeX implementation like “bibtex8” or
% “biber”.

@PHDTHESIS{Brenner:837067,
      author       = {Brenner, René},
      othercontributors = {Maier-Paape, Stanislaus and Zhu, Qiji Jim},
      title        = {{C}onsistency in portfolio optimization : a new approach
                      using the general framework of portfolio theory},
      school       = {RWTH Aachen University},
      type         = {Dissertation},
      address      = {Aachen},
      publisher    = {RWTH Aachen University},
      reportid     = {RWTH-2021-11745},
      pages        = {1 Online-Ressource : Illustrationen},
      year         = {2021},
      note         = {Veröffentlicht auf dem Publikationsserver der RWTH Aachen
                      University 2022; Dissertation, RWTH Aachen University, 2021},
      abstract     = {In line with the general framework of portfolio
                      optimization this thesis shows strong consistency of
                      portfolio optimization problems with constrained utility for
                      lower semi-continuous convex (extended) risk and upper
                      semi-continuous concave (extended) utility functions. It
                      also shows measurability of solutions of the empirical
                      optimization problem. Numerical results are presented
                      showing the empirical efficient frontier, i.e. the empirical
                      risk andutility values of numerical solutions to different
                      utility lower bounds µ, for the so called
                      empiricallog-drawdown risk setup. Furthermore, a statistical
                      analysis of consistency of empirical solutions isgiven.
                      These evaluations are done based on real historical market
                      data with the software environment POEM which was designed
                      especially for backtesting portfolio optimizations.},
      cin          = {111810 / 111920 / 110000},
      ddc          = {510},
      cid          = {$I:(DE-82)111810_20140620$ / $I:(DE-82)111920_20140620$ /
                      $I:(DE-82)110000_20140620$},
      typ          = {PUB:(DE-HGF)11},
      doi          = {10.18154/RWTH-2021-11745},
      url          = {https://publications.rwth-aachen.de/record/837067},
}