Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
John Armstrong, Damiano Brigo
| Year of publication: |
2019
|
|---|---|
| Authors: | Armstrong, John ; Brigo, Damiano |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 101.2019, p. 122-135
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| Subject: | Concave utility constraints | Concave utility risk constraints | Effective risk constraints | Expected shortfall constraints | Limited liability investors | Optimal product design under risk constraints | S-Shaped utility maximization | Tail-risk-seeking investors | Value at risk constraints | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Nutzen | Utility | Risiko | Risk | Liquiditätsbeschränkung | Liquidity constraint | Nutzenfunktion | Utility function | Entscheidung unter Risiko | Decision under risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162636