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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

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

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

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

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 motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of...

Persistent link: https://www.econbiz.de/10014192969