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Optimal expected utility of wealth for two dependent classes of insurance business

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Theoretical economics letters 3 (2013) 2, pp. 90-95

Persistent link: https://www.econbiz.de/10010239638

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

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

Persistent link: https://www.econbiz.de/10010490408

Developments in portfolio management and risk programming techniques for agriculture

Turvey, Calum Greig; Escalante, Cesar L.; Nganje, William - In: Agricultural finance review 65 (2005) 2, pp. 219-245

Persistent link: https://www.econbiz.de/10003674360

Robust portfolio optimization with a generalized expected utility model under ambiguity

Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin - In: Annals of finance 4 (2008) 4, pp. 431-444

Persistent link: https://www.econbiz.de/10003737193

Portfolio Optimization with Optimal Expected Utility Risk Measures

Fink, Holger - 2020

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 …

Persistent link: https://www.econbiz.de/10012848752