Extending pricing rules with general risk functions
From MaRDI portal
Publication:1044131
DOI10.1016/j.ejor.2009.02.015zbMath1177.91143OpenAlexW2045790575MaRDI QIDQ1044131
Publication date: 10 December 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/12956
convex optimizationoptimality conditionspricing rulerisk measure and deviation measureincomplete and imperfect market
Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
Market consistent valuations with financial imperfection, Hedging, Pareto optimality, and good deals, Good deals and compatible modification of risk and pricing rule: a regulatory treatment, Good deal indices in asset pricing: actuarial and financial implications, Actuarial pricing with financial methods, Stable solutions for optimal reinsurance problems involving risk measures, Trade-off between robust risk measurement and market principles, Controlled Markov decision processes with AVaR criteria for unbounded costs, Minimax strategies and duality with applications in financial mathematics, Robust optimal control using conditional risk mappings in infinite horizon, Minimizing CVaR in global dynamic hedging with transaction costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Weighted V\@R and its properties
- Some new classes of consistent risk measures
- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Optimal trading strategy for an investor: the case of partial information
- Efficient hedging with coherent risk measure
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Conditional value at risk and related linear programming models for portfolio optimization
- Utility maximization in incomplete markets for unbounded processes
- Generalized deviations in risk analysis
- Optimality conditions in portfolio analysis with general deviation measures
- Coherent Measures of Risk
- Ambiguous Risk Measures and Optimal Robust Portfolios
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Dual Stochastic Dominance and Related Mean-Risk Models
- Risk and Financial Management
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Variance-Optimal Hedging in Discrete Time
- Optimization of Convex Risk Functions
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Coherent risk measures and good-deal bounds
- Projection pricing
- Nonmonotonic Choquet integrals
