Existence, uniqueness, and stability of optimal payoffs of eligible assets

DOI10.1111/mafi.12205OpenAlexW2963741739MaRDI QIDQ5109985

Michel Baes, Pablo Koch-Medina, Cosimo Munari

Publication date: 14 May 2020

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

Full work available at URL: https://arxiv.org/abs/1702.01936

zbMATH Keywords

parametric optimizationset-valued mapsrisk measurescapital adequacyoptimal eligible assets

Mathematics Subject Classification ID

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

Related Items (10)

Optimal payoffs for directionally closed acceptance sets ⋮ Star-Shaped Risk Measures ⋮ Combining multi-asset and intrinsic risk measures ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ A continuous selection for optimal portfolios under convex risk measures does not always exist ⋮ Time consistency for scalar multivariate risk measures ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

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