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Portfolio Performance Maximization with Generalized Kappa Ratio
Hentati, Rania - 2012
introduce the Kappa ratios, based on downside risk measures which take account of the asymmetry of the return probability … combination of risk free, stock and call/put instruments with respect to Kappa performance measures and in particular to the …
Persistent link: https://www.econbiz.de/10013105024
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Equilibrium of Financial Derivative Markets and Compensating Variations Under Portfolio Insurance Constraints
Bertrand, Philippe - 2012
This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...
Persistent link: https://www.econbiz.de/10013105193