Optimal investment with risk controlled by weighted entropic risk measures (Q6496946)
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scientific article; zbMATH DE number 7842595
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment with risk controlled by weighted entropic risk measures |
scientific article; zbMATH DE number 7842595 |
Statements
Optimal investment with risk controlled by weighted entropic risk measures (English)
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6 May 2024
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expected utility maximization
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risk management
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weighted entropic risk measure
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weighted CARA certainty equivalents
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monotone additive risk measure
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0.8358259201049805
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0.8037289977073669
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0.796930730342865
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0.7910165786743164
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0.7845376133918762
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