Optimal investment with risk controlled by weighted entropic risk measures

DOI10.1137/22M152894XMaRDI QIDQ6496946FDOQ6496946

Authors: Jianming Xia 

Publication date: 6 May 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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zbMATH Keywords

risk managementexpected utility maximizationmonotone additive risk measureweighted CARA certainty equivalentsweighted entropic risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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• Stochastic finance. An introduction in discrete time.
• Risk Management with Benchmarking
• Increases in risk aversion and the distribution of portfolio payoffs
• A comonotonic image of independence for additive risk measures
• On the representation of additive principles of premium calculation
• Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets
• Risk management with weighted VaR
• Rank-dependent utility and risk taking in complete markets
• Quantile portfolio optimization under risk measure constraints
• Dynamic portfolio choice when risk is measured by weighted VaR
• Risk management with expected shortfall

Cited In (1)

• Risk management under weighted limited expected loss

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