On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

DOI10.1007/s00780-017-0339-1zbMath1422.91783arXiv1301.3531OpenAlexW2469489933WikidataQ59527772 ScholiaQ59527772MaRDI QIDQ2412393

D. Madan, Mitja Stadje, Martijn R. Pistorius

Publication date: 23 October 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3531

zbMATH Keywords

limit theoremdistortion\(g\)-expectationdynamic risk measurespectral risk measureChoquet expectation(strong) time-consistencydynamic portfolio optimisation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (15)

Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Benchmarking in two price financial markets ⋮ Dynamic conic hedging for competitiveness ⋮ Instantaneous portfolio theory ⋮ Conditional coherent risk measures and regime-switching conic pricing ⋮ Lower and upper pricing of financial assets ⋮ Exposure valuations and their capital requirements ⋮ A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS ⋮ Option returns ⋮ CONIC TRADING IN A MARKOVIAN STEADY STATE ⋮ EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS ⋮ Measure distorted arrival rate risks and their rewards ⋮ Zero covariation returns ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ High dimensional Markovian trading of a single stock

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