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The average risk sharing problem under risk measure and expected utility theory
Mao, Tiantian; Hu, Jiuyun; Liu, Haiyan - In: Insurance / Mathematics & economics 83 (2018), pp. 170-179
Persistent link: https://www.econbiz.de/10011944126
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Risk aversion : differential conditions for the iso-utility curves with positive slope in transformed two-parameter distributions
Corradin, Fausto; Sartore, Domenico - 2018
Persistent link: https://www.econbiz.de/10011957311
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Hedging-based utility risk measure customized for individual investors
Dong, Linjia; Yang, Zhaojun - In: Operations research letters 50 (2022) 5, pp. 509-512
Persistent link: https://www.econbiz.de/10013449436
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
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On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models
Furman, Olga; Furman, Edward - 2010
Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some …
Persistent link: https://www.econbiz.de/10014192969
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Are reference measures of law-invariant functionals unique?
Liebrich, Felix-Benedikt - In: Insurance : mathematics and economics 118 (2024), pp. 129-141
Persistent link: https://www.econbiz.de/10015067038
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CRRA utility maximization under risk constraints
Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - 2011
; constrained utility maximization ; correspondences ; risk measures. …This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject … to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete …
Persistent link: https://www.econbiz.de/10009229672
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Asset pricing under quantile utility maximization
Giovannetti, Bruno - In: Review of financial economics : RFE 22 (2013) 4, pp. 169-179
Persistent link: https://www.econbiz.de/10010442730
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Pricing in reinsurance bargaining with comonotonic additive utility functions
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 507-530
Persistent link: https://www.econbiz.de/10011576823