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Optimal expected utility
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Portfolio optimization with
optimal
expected
utility
risk measures
Geissel, S.
;
Graf, H.
;
Herbinger, J.
;
Seifried, F. T.
- In:
Annals of Operations Research
309
(
2021
)
1
,
pp. 59-77
The purpose of this article is to evaluate
optimal
expected
utility
risk measures (OEU) in a risk-constrained portfolio …
Persistent link: https://www.econbiz.de/10014501517
Saved in:
2
Implied risk aversion : an alternative rating system for retail structured products
Fink, Holger Maria
;
Geissel, Sebastian
;
Sass, Jörn
; …
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 357-387
Persistent link: https://www.econbiz.de/10012311821
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