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Worst portfolios for dynamic monetary utility processes - MaRDI portal

Worst portfolios for dynamic monetary utility processes (Q5085828)

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scientific article; zbMATH DE number 7550677
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English
Worst portfolios for dynamic monetary utility processes
scientific article; zbMATH DE number 7550677

    Statements

    title
    Worst portfolios for dynamic monetary utility processes (English)
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    published in
    Stochastics
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    publication date
    30 June 2022
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    zbMATH Keywords
    comonotonicity
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    best portfolio
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    monetary utility function process
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    time-consistency
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    relevancy
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    risk measures
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    Identifiers

    zbMATH DE Number
    7550677
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    OpenAlex ID
    W3098432863
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    arXiv ID
    1704.04686
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