This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in … perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes …, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale … similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio … insurance constraints. The two models generalize existing models under expected utility theory and behavioral theory. To obtain … explicit optimal solutions, the martingale method, quantile formulation, and relaxation method are used. We have specifically …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …