Monetary utility over coherent risk ratios

DOI10.1524/STND.2006.24.1.173zbMATH Open1186.91240OpenAlexW2230781071MaRDI QIDQ3417656FDOQ3417656

Authors: Johannes Leitner 

Publication date: 30 January 2007

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2006.24.1.173

zbMATH Keywords

coherent risk measureconstraint portfolio optimizationmonetary utility functional

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cited In (2)

• Demand for risky assets and the monotone probability ratio order
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

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