The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … previous investment period can be used in the decision for the next investment period. In this approach, such information is … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and … actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor …. We study convex risk functionals that incorporate a safety margin with respect to nonparametric uncertainty by penalizing …