Science.Online
Search
Publisher and Institutes
Akademie Verlag
Deutsches Institut für Urbanistik
Oldenbourg Wissenschaftsverlag
Walter de Gruyter
Schattauer
You are here: Home :: Keyword index :: Bre bis com :: code based cryptography, - COHP coherent risk measure

Items for "coherent risk measure"

Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals

The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures...

Keywords: capacity, dilatation monotonicity, comonotonicity, coherent risk measure, risk-adjusting value functional

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag
Monetary utility over coherent risk ratios

For a monetary utility functional U and a coherent risk measure ρ, both with compact scenario sets in Lq, we optimize the ratio α(V):=U(V)/ρ(V) over an (arbitrage-free) linear sub-space V⊆Lp, 1≤p≤∞, of attainable returns in an incomplete market model such that ρ>0 on V\{0}...

Keywords: constraint portfolio optimization, monetary utility functional, coherent risk measure

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag