On the optimal wealth process in a log-normal market : applications to risk management
Philip Monin and Thaleia Zariphopoulou
| Year of publication: |
2014
|
|---|---|
| Authors: | Monin, Philip ; Zariphopoulou-Souganidis, Thaleia |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-37
|
| Subject: | Expected utility | Merton problem | value at risk (VaR) | expected shortfall | portfolio greeks | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risiko | Risk | Erwartungsnutzen |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508086