Risk-adjusted value allocation for (non-traded) assets with performance ratios

DOI10.1080/14697680601175449zbMath1140.91423OpenAlexW2066956203MaRDI QIDQ3518391

Johannes Leitner

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601175449

zbMATH Keywords

risk measuresperformance ratiospricing in incomplete marketsrisk-adjusted value allocation

Mathematics Subject Classification ID

Related Items (1)

OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

Cites Work

• Weighted norm inequalities and hedging in incomplete markets
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Optimal investment in incomplete markets when wealth may become negative.
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent Measures of Risk
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures

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