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On the compatibility of value at risk, other risk concepts, and expected utility maximization
Guthoff, Anja; Pfingsten, Andreas; Wolf, Juliane - 1997
Persistent link: https://www.econbiz.de/10000992251
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On some claims related to Choquet integral risk measures
Nguyen, Hung T.; Pham, Uyen H.; Tran, Hien D. - 2012
Persistent link: https://www.econbiz.de/10010218819
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Ruin probabilities under general investments and heavy-tailed claims
Hult, Henrik; Lindskog, Filip - In: Finance and stochastics 15 (2011) 2, pp. 243-265
Persistent link: https://www.econbiz.de/10009159101
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Upper bounds for ruin probabilities in a new general risk model by the martingales method
Vylder, F. de; Goovaerts, M. - 1981
Persistent link: https://www.econbiz.de/10003006141
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The equilibrium allocation of diffusive and jump risks with heterogeneous agents
Dieckmann, Stephan; Gallmeyer, Michael - In: Journal of economic dynamics & control 29 (2005) 9, pp. 1547-1576
Persistent link: https://www.econbiz.de/10003068779
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Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun; Yi, Lan - In: Journal of mathematical finance 7 (2017) 3, pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
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Robust utility maximization with nonlinear continuous semimartingales
Criens, David; Niemann, Lars - In: Mathematics and financial economics 17 (2023) 3, pp. 499-536
Persistent link: https://www.econbiz.de/10014381096
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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Ambiguity in risk preferences in robust stochastic optimization
Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225
Persistent link: https://www.econbiz.de/10011503281
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Composite hedge and utility maximization for optimal futures hedging
Cui, Yan; Feng, Yun - In: International review of economics & finance : IREF 68 (2020), pp. 15-32
Persistent link: https://www.econbiz.de/10012486283