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 …

dependence between her risk aversion and the distribution of the optimal terminal payoff . Economic intuition suggests that high … risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a higher average payoff … at the expense of a more widespread distribution. Dybvig and Wang [J. Econ. Theory, 2011, to appear] find that this idea …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …