Optimal and robust contracts for a risk-constrained principal

DOI10.1007/s11579-009-0018-xzbMath1255.91408OpenAlexW2158215277MaRDI QIDQ1932523

L. C. G. Rogers

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-009-0018-x

zbMATH Keywords

risk measurecontractoptimal investment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (2)

Portfolio insurance under a risk-measure constraint ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets

Cites Work

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• Axiomatic characterization of insurance prices
• Dilatation monotone risk measures are law invariant
• Coherent Measures of Risk
• Optimal Portfolios with Bounded Capital at Risk

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