Investment under duality risk measure

DOI10.1016/j.ejor.2014.06.022zbMath1339.91111arXiv1406.4222OpenAlexW2057523209MaRDI QIDQ297406

Zuo Quan Xu

Publication date: 27 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4222

zbMATH Keywords

portfolio selectionduality axiomduality indexduality risk measure

Mathematics Subject Classification ID

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Adapted solution of a backward stochastic differential equation
• Advances in prospect theory: cumulative representation of uncertainty
• An Economic Index of Riskiness
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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