This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures (OEU) as introduced by Geissel et al. (2017) and, in contrast to standard V@R-based ratings, takes into account both the...

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...

This thesis deals with 3 important aspects of optimal investment in real-world financial markets: taxes, crashes, and illiquidity. An introductory chapter reviews the portfolio problem in its historical context and motivates the theme of this work: We extend the standard modelling framework to...

In a fully general semimartingale setting, this article establishes existence, uniqueness, monotonicity, concavity, and a utility gradient inequality for continuous-time recursive utility in the Epstein-Zin parametrization with relative risk aversion $\gamma$ and elasticity of intertemporal...

Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MARGP) and a thresholded ARGP (TARGP). These...