Coherent risk measures alone are ineffective in constraining portfolio losses
Year of publication: |
2022
|
---|---|
Authors: | Armstrong, John ; Brigo, Damiano |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-8
|
Subject: | -Arbitrage | Classic utility risk limit | Coherent risk measures | Incomplete markets | Ineffective risk measures | Limited liability | Markowitz model | Positive homogeneity | S-shaped utility | Tail-risk seeking behaviour | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Unvollkommener Markt | Incomplete market | Messung | Measurement |
-
Bellini, Fabio, (2018)
-
The restricted convex risk measures in actuarial solvency
Konstantinides, Dimitrios G., (2014)
-
Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice, (2022)
- More ...
-
Option pricing models without probability : a rough paths approach
Armstrong, John, (2021)
-
Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John, (2019)
-
Optimizing S-Shaped Utility and Implications for Risk Management
Armstrong, John, (2018)
- More ...