Scalarized utility-based multi-asset risk measures

DOI10.1080/03461238.2024.2410211MaRDI QIDQ6997992zbMATH OpenFDO

Authors Sascha Desmettre, Christian Laudagé, Jörn Sass

Publication date 11 April 2025

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16)

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