Risk management with weighted VaR

DOI10.1111/mafi.12160zbMath1417.91484OpenAlexW2613449725MaRDI QIDQ4962462

Pengyu Wei

Publication date: 2 November 2018

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

Full work available at URL: https://doi.org/10.1111/mafi.12160

zbMATH Keywords

value-at-riskrisk measureportfolio insuranceportfolio selectionexpected shortfallweighted value-at-riskregulatory capital arbitrage

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (10)

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints ⋮ Risk management with expected shortfall ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ Representation theorems for WVaR with respect to a capacity ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

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