Utility Maximization Under Bounded Expected Loss (Q3396371)

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Utility Maximization Under Bounded Expected Loss
scientific article

    Statements

    title
    Utility Maximization Under Bounded Expected Loss (English)
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    author
    Abdelali Gabih
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    Jörn Sass
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    Ralf Wunderlich
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    publication date
    18 September 2009
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    zbMATH Keywords
    expected shortfall
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    Malliavin calculus
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    portfolio optimization
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    risk constraint
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    utility maximization
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G44
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    60H07
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    91B30
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    zbMATH DE Number
    5604648
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