Co-monotonicity of optimal investments and the design of structured financial products
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Publication:483696
DOI10.1007/S00780-009-0117-9zbMath1303.91160OpenAlexW3124792475MaRDI QIDQ483696
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/156728/1/ZORA_NL_156728.pdf
Inequalities; stochastic orderings (60E15) Applications of optimal control and differential games (49N90) Individual preferences (91B08) Portfolio theory (91G10)
Related Items (8)
Characterization of acceptance sets for co-monotone risk measures ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ The pricing kernel puzzle: survey and outlook ⋮ Portfolio selection based on extended Gini shortfall risk measures ⋮ Risk classes for structured products: mathematical aspects and their implications on behavioral investors ⋮ Measure preserving derivatives and the pricing kernel puzzle ⋮ Optimal portfolios under worst-case scenarios ⋮ Cost-efficient contingent claims with market frictions
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