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A performance evaluation of portfolio insurance under the Black and Scholes framework : an application of the economic index of riskiness

Lu, Richard; Horng, Tzyy-Leng; Horng, Min-Sun; Wang, … - In: The quarterly review of economics and finance : journal … 89 (2023), pp. 269-276

Persistent link: https://www.econbiz.de/10014429772

Explicit solution to the economic index of riskiness

Cui, Zhenyu; Wu, Cai; Zhu, Lingjiong - In: Economics letters 232 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014464164

Essays on dual risk measures and the asymptotic term structure

Schulze, Klaas (contributor) - 2009

Persistent link: https://www.econbiz.de/10003872174

Indexing gamble desirability by extending proportional stochastic dominance

Hellman, Ziv; Schreiber, Amnon - In: Games and economic behavior 109 (2018), pp. 523-543

Persistent link: https://www.econbiz.de/10012173241

Time diversification : perspectives from the economic index of riskness

Lu, Richard; Yang, Chen-Chen; Wong, Wing Keung - In: Annals of financial economics 13 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011958474

General dual measures of riskiness

Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304

Persistent link: https://www.econbiz.de/10010513819

Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 285 (2020) 3, pp. 1114-1126

Persistent link: https://www.econbiz.de/10012239858

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

A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness

Chew, Soo-Hong; Sagi, Jacob Shimon - In: Economic theory 74 (2022) 2, pp. 397-422

Persistent link: https://www.econbiz.de/10013442043

Hedging price risk when payment dates are uncertain

Korn, Olaf - 2009 - Current Version: February 2009

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time … practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different …

Persistent link: https://www.econbiz.de/10009526497

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