Worst portfolios for dynamic monetary utility processes

DOI10.1080/17442508.2017.1311901zbMath1490.91185arXiv1704.04686OpenAlexW3098432863MaRDI QIDQ5085828

Oscar-Hernan Madrid-Padilla, Daniel Hernández-Hernández

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04686

zbMATH Keywords

risk measurescomonotonicitytime-consistencyrelevancybest portfoliomonetary utility function process

Mathematics Subject Classification ID

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

Cites Work

• On the \(n\)-coupling problem
• Dynamic monetary risk measures for bounded discrete-time processes
• A characterization of random variables with minimum \(L^ 2\)-distance
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Worst case portfolio vectors and diversification effects
• Consistent risk measures for portfolio vectors
• Coherent Measures of Risk
• Stochastic Finance
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Law invariant convex risk measures for portfolio vectors
• Approaches to Conditional Risk
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS

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