Optimal expected utility risk measures
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Publication:1688731
DOI10.1515/strm-2017-0027zbMath1377.91168OpenAlexW3124445206MaRDI QIDQ1688731
Frank Thomas Seifried, Jörn Sass, Sebastian Geissel
Publication date: 11 January 2018
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/strm-2017-0027
Related Items (5)
Weighted Scoring Rules and Convex Risk Measures ⋮ Risk measures in the form of infimal convolution ⋮ Portfolio optimization with optimal expected utility risk measures ⋮ Implied risk aversion: an alternative rating system for retail structured products ⋮ Hedging-based utility risk measure customized for individual investors
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