Utility maximization under a shortfall risk constraint
type: Item
instance of: scholarly article
title: Utility maximization under a shortfall risk constraint
zbMATH Open document ID: 1152.91031
author: Anne Gundel
author: Stefan Weber
published in: Journal of Mathematical Economics
publication date: 2008-11-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5365278
zbMATH Keywords: utility maximization
zbMATH Keywords: optimal portfolio choice
zbMATH Keywords: utility-based shortfall risk
zbMATH Keywords: convex risk measures
zbMATH Keywords: semimartingales
MaRDI profile type: Publication
full work available at URL: j.jmateco.2008.01.002
OpenAlex ID: W1983341905
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DOI: 10.1016/J.JMATECO.2008.01.002
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description: scientific article; zbMATH DE number 5365278