Hedging-based utility risk measure customized for individual investors

DOI10.1016/J.ORL.2022.07.007OpenAlexW4288069797MaRDI QIDQ2084022

Zhaojun Yang, Linjia Dong

Publication date: 17 October 2022

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2022.07.007

zbMATH Keywords

risk measuresutility indifference priceshedging riskpersonalized risk measures

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Convex measures of risk and trading constraints
• Optimal expected utility risk measures
• Dynamic coherent risk measures
• Coherent Measures of Risk
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• External Risk Measures and Basel Accords
• Risk Aversion in the Small and in the Large
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

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