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  • Search: subject:"shortfall constraints"
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Subject
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Portfolio selection 2 Portfolio-Management 2 Risikomaß 2 Risk measure 2 Theorie 2 Theory 2 Anlageverhalten 1 Behavioural finance 1 Concave utility constraints 1 Concave utility risk constraints 1 Decision under risk 1 Effective risk constraints 1 Entscheidung unter Risiko 1 Expected shortfall constraints 1 Limited liability investors 1 Liquidity constraint 1 Liquiditätsbeschränkung 1 Neyman–Pearson lemma 1 Nutzen 1 Nutzenfunktion 1 Optimal product design under risk constraints 1 Portfolio optimisation 1 Quantile hedging 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 S-Shaped utility maximization 1 Shortfall constraints 1 Simulation 1 Tail-risk-seeking investors 1 Utility 1 Utility function 1 Value at risk constraints 1 Value-at-Risk 1 bankruptcy prohibition 1 conditional tests 1 shortfall constraints 1
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Undetermined 2
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 research-article 1
Language
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English 3
Author
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Armstrong, John 1 Auer, Benjamin R. 1 Barski, Michał 1 Brigo, Damiano 1 Scheller, Felix 1
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Journal of banking & finance 1 Quantitative finance 1 Statistics & Risk Modeling 1
Source
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ECONIS (ZBW) 2 Other ZBW resources 1
Showing 1 - 3 of 3
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Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
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How does the choice of Value-at-Risk estimator influence asset allocation decisions?
Scheller, Felix; Auer, Benjamin R. - In: Quantitative finance 18 (2018) 12, pp. 2005-2022
Persistent link: https://www.econbiz.de/10012262943
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On the shortfall risk control: A refinement of the quantile hedging method
Barski, Michał - In: Statistics & Risk Modeling 32 (2016) 2, pp. 125-141
), 117–146] as well as the classical Neyman–Pearson lemma are generalized. Optimal hedging strategies with shortfall … constraints in the Black–Scholes and exponential Poisson model are explicitly determined.  …
Persistent link: https://www.econbiz.de/10014621229
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