The riskiness of stock versus money market investment with stochastic rates

DOI10.1007/s10100-022-00814-4OpenAlexW4290888605MaRDI QIDQ6161236

Dávid Zoltán Szabó, Zsolt Bihary

Publication date: 27 June 2023

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-022-00814-4

zbMATH Keywords

spectral risk measuresGlueVaRasset allocationtime diversificationvasicek process

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Using multiple reference levels in multi-criteria decision aid: the generalized-additive independence model and the Choquet integral approaches
• Spectral risk measure of holding stocks in the long run
• Individual optimal pension allocation under stochastic dominance constraints
• On some claims related to Choquet integral risk measures
• Theory of capacities
• Estimation methods for expected shortfall
• The Market Model of Interest Rate Dynamics
• An interest rate model with a Markovian mean reverting level
• An equilibrium characterization of the term structure
• A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid

This page was built for publication: The riskiness of stock versus money market investment with stochastic rates