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Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
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Haezendonck-Goovaerts risk measure with a heavy tailed loss
Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47
Persistent link: https://www.econbiz.de/10011774767
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Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 264 (2018) 2, pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
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Adjusted Rényi entropic value-at-risk
Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong - In: European journal of operational research : EJOR 306 (2023) 1, pp. 255-268
Persistent link: https://www.econbiz.de/10014276754
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Distortion risk measure under parametric ambiguity
Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172
Persistent link: https://www.econbiz.de/10014440209
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Risk Price Dynamics
Borovička, Jaroslav - 2009
featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10013154476
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Risk Price Dynamics
Hansen, Lars Peter - 2019
examples featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10012906129
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Risk Price Dynamics
Borovička, Jaroslav - 2019
featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10012871777
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Risk Price Dynamics
Borovička, Jaroslav - 2009
featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10012463143
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Chapter 23. Risk Pricing over Alternative Investment Horizons
Hansen, Lars Peter - 2013
a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …
Persistent link: https://www.econbiz.de/10014025355