On the optimal wealth process in a log-normal market : applications to risk management
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 | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Erwartungsnutzen | Risiko | Risk | Griechenland | Greece |
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