Exponential risk measure with application to UK asset allocation

DOI10.1080/13504860010014502zbMath1013.91058OpenAlexW2081333318MaRDI QIDQ4541593

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Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860010014502

zbMATH Keywords

kurtosisutility functionskewnessCAPMdownside riskasset allocationexponential risk measure

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (2)

Value at risk linear exponent (VARLINEX) forecasts ⋮ Interval-based stochastic dominance: theoretical framework and application to portfolio choices

Cites Work

• Unnamed Item
• A characterization of the distributions that imply mean-variance utility functions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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