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Monetary utility over coherent risk ratios - MaRDI portal

Monetary utility over coherent risk ratios

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Publication:3417656

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DOI10.1524/stnd.2006.24.1.173zbMath1186.91240OpenAlexW2230781071MaRDI QIDQ3417656

Johannes Leitner

Publication date: 30 January 2007

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2006.24.1.173

zbMATH Keywords

coherent risk measure constraint portfolio optimization monetary utility functional

Mathematics Subject Classification ID

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Related Items (1)

OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

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