The geometry of risk adjustments

DOI10.1007/S10203-023-00421-1MaRDI QIDQ6581906zbMATH OpenFDO

Authors Hans-Peter Bermin, Magnus Holm

Publication date 1 August 2024

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10203-023-00421-1

zbMATH Keywords

geometryJensen's alphaKelly criterionmarket price of riskoption pricing

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A BENCHMARK APPROACH TO FINANCE
• Changes of numéraire, changes of probability measure and option pricing
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Growth Versus Security in Dynamic Investment Analysis
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• KELLY TRADING AND MARKET EQUILIBRIUM
• Risk‐sensitive benchmarked asset management with expert forecasts
• Tensor Geometry
• Theory of games and economic behavior.

Cited in

(1)

• Kelly trading and expected utility

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