Good deal indices in asset pricing: actuarial and financial implications
From MaRDI portal
Publication:6066598
DOI10.1111/itor.12424OpenAlexW2585044456MaRDI QIDQ6066598
No author found.
Publication date: 16 November 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/399168/2/BGO_17_v2.pdf
risk measureactuarial and financial implicationscompatibility between prices and risksgood deal size measurement
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Marginal indemnification function formulation for optimal reinsurance
- Good deals and benchmarks in robust portfolio selection
- Optimal investment and risk control for an insurer under inside information
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Actuarial risk measures for financial derivative pricing
- Extending pricing rules with general risk functions
- Theory of multiobjective optimization
- Martingales and arbitrage in multiperiod securities markets
- Generalized deviations in risk analysis
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Coherent Measures of Risk
- CDF formulation for solving an optimal reinsurance problem
- Asset allocation and derivatives
- European Option Pricing with Transaction Costs
- On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios
- Optimal Financial Portfolios
- Portfolio Selection: A Compromise Programming Solution
- Compatibility between pricing rules and risk measures: The CCVaR
- Projection pricing
This page was built for publication: Good deal indices in asset pricing: actuarial and financial implications
